US TSY FUTURES: Mix Of Long Setting & Short Cover Seen Wednesday
OI data points to net long setting in the intermediate zone (FV, TY & UXY futures) during Wednesday’s uptick in futures, which was largely offset (from a curve-wide DV01 perspective) by net short cover in the wings (TU, US & WN).
- Net long setting in FV futures provided the only DV01 shift of any real note, with the remainder of the net positioning swings seemingly modest on the day.
| 09-Jul-25 | 08-Jul-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,346,779 | 4,354,255 | -7,476 | -284,422 |
FV | 7,038,671 | 7,006,881 | +31,790 | +1,372,446 |
TY | 4,915,690 | 4,915,665 | +25 | +1,652 |
UXY | 2,415,922 | 2,415,810 | +112 | +9,783 |
US | 1,825,583 | 1,829,771 | -4,188 | -580,001 |
WN | 1,959,556 | 1,960,806 | -1,250 | -229,330 |
|
| Total | +19,013 | +290,129 |
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EUR: EURUSD still trades either side of 1.1400
- While the most traded pair in the World has seen a somewhat wide 1.1313/1.1495 (low/high) range so far in early June, the EURUSD has traded either side of 1.1400 at least for the past 6 sessions, and is back circa 1.1400 ahead of possible developments in US-China trade Wars, but especially pre US CPI Tomorrow.
- In terms of Option expiry, there's ~1.2bn at 1.1400/1.1405 Today, 2.18bn at 1.1400 (wed), 1.11bn at 1.1400 (thu), and 1.37bn at 1.1400 (fri).
- Aside from the spot, FX Exchange traded rolls dominates once again Today, 65% of the Front Month in EURUSD is spread related.
FINLAND AUCTION RESULTS: 1.50% Sep-32 RFGB / 0.50% Apr-43 RFGB
| 1.50% Sep-32 RFGB | 0.50% Apr-43 RFGB | |
| ISIN | FI4000523238 | FI4000517677 |
| Amount | E733mln | E758mln |
| Previous | E722mln | E666mln |
| Avg yield | 2.677% | 3.365% |
| Previous | 2.702% | 2.510% |
| Bid-to-cover | 1.53x | 1.63x |
| Previous | 1.59x | 1.38x |
| Avg Price | 92.320 | 62.030 |
| Pre-auction mid | 92.075 | 61.686 |
| Prev avg price | 92.110 | 67.700 |
| Prev mid-price | 91.901 | 67.660 |
| Previous date | 20-May-25 | 15-Jun-22 |
US TSY FUTURES: Short Cover Seemed To Dominate On Monday
OI data points to a mix of net long setting (TU, UXY & WN) and short cover (FV, TY & US) in Tsy futures as the contracts ticked higher on Monday.
- Net short cover provided the more meaningful impulse in curve-wide terms.
| 09-Jun-25 | 06-Jun-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 3,956,555 | 3,919,482 | +37,073 | +1,463,769 |
FV | 6,782,892 | 6,828,544 | -45,652 | -1,989,750 |
TY | 4,773,364 | 4,812,773 | -39,409 | -2,604,935 |
UXY | 2,300,994 | 2,293,709 | +7,285 | +634,159 |
US | 1,722,226 | 1,731,668 | -9,442 | -1,295,726 |
WN | 1,889,366 | 1,887,856 | +1,510 | +274,246 |
|
| Total | -48,635 | -3,518,237 |
