STIR: Mix Of Long Setting & Short Cover In SOFR Futures On Wednesday
OI data points to relatively contained rounds of net long setting and short cover across most of the SOFR futures strip on Wednesday.
| 16-Apr-25 | 15-Apr-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRH5 | 1,121,829 | 1,120,038 | +1,791 | Whites | +17,532 |
SFRM5 | 1,242,825 | 1,224,859 | +17,966 | Reds | -21,429 |
SFRU5 | 966,482 | 972,961 | -6,479 | Greens | -2,634 |
SFRZ5 | 1,074,062 | 1,069,808 | +4,254 | Blues | +154 |
SFRH6 | 656,323 | 659,163 | -2,840 |
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SFRM6 | 696,572 | 703,130 | -6,558 |
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SFRU6 | 663,007 | 662,402 | +605 |
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SFRZ6 | 865,604 | 878,240 | -12,636 |
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SFRH7 | 600,867 | 596,613 | +4,254 |
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SFRM7 | 551,294 | 553,903 | -2,609 |
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SFRU7 | 361,265 | 364,189 | -2,924 |
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SFRZ7 | 403,039 | 404,394 | -1,355 |
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SFRH8 | 252,549 | 254,212 | -1,663 |
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SFRM8 | 181,693 | 180,756 | +937 |
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SFRU8 | 135,946 | 135,743 | +203 |
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SFRZ8 | 149,179 | 148,502 | +677 |
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US 10YR FUTURE TECHS: (M5) Support Remains Intact
- RES 4: 113-02 2.0% 10-dma envelope
- RES 3: 112-13 1.500 proj of the Jan 13 - Feb 7 - Feb 12 price swing
- RES 2: 112-01/02 High Mar 4 / 1.382 proj of Jan 13-Feb 7-12 swing
- RES 1: 111-25 High Mar 11
- PRICE: 110-20+ @ 10:27 GMT Mar 18
- SUP 1: 110-14+ 20-day EMA
- SUP 2: 110-12+/00 Low Mar 6 & 13 / High Feb 7 and 50-day EMA
- SUP 3: 109-13+ Low Feb 24
- SUP 4: 108-21 Low Feb 19
The trend condition in Treasury futures is unchanged, a bull cycle remains in play and the current consolidation marks a pause in the uptrend. A bull theme is reinforced by MA studies that are in a bull-mode condition, highlighting a dominant uptrend. Recent gains have resulted in a print above 111-22+, the Dec 3 ‘24 high. A clear breach of this level would open 112-02 and 112-13, Fibonacci projections. Firm support is 110-00, the Feb 7 high.
CROSS ASSET: Equities Off Highs & Bonds Off Lows
Bonds tick away from lows and equities edge away from highs in recent trade.
- The downtick in equities started a little before the disappointing ZEW current situation reading (which was accompanied by a slightly larger-than-expected jump in the expectations component, driven by the German fiscal sea change).
- A continued rally in oil limits the recovery.
- BBG source reports/headlines surrounding Russian demands re: a Ukrainian ceasefire aren’t particularly surprising/market moving.
EGBS: Bund ratio put fly
RXJ5 127/126.5/125.5p fly 1x2x0.5, bought for -1 in 4k.
