US TSY FUTURES: Mix Of Short Setting & Long Cover Seen On Thursday
OI data points to a mix of net long cover (TU, FV, UXY & WN) and short setting (TY & US) as Tsy futures ticked lower on Thursday, with the former dominating in net curve-wide terms even as the largest DV01 swing came in TY positioning.
| 08-Jan-26 | 07-Jan-26 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,513,232 | 4,522,628 | -9,396 | -360,570 |
FV | 6,688,150 | 6,738,109 | -49,959 | -2,176,535 |
TY | 5,575,730 | 5,574,958 | +772 | +51,301 |
UXY | 2,566,420 | 2,581,625 | -15,205 | -1,365,016 |
US | 1,888,482 | 1,871,749 | +16,733 | +2,314,125 |
WN | 2,084,989 | 2,091,301 | -6,312 | -1,155,412 |
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| Total | -63,367 | -2,692,106 |
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EURIBOR OPTIONS: Call Spread vs Put Spread
ERU6 98.00/98.50cs vs 97.87/97.62ps, bought the cs for -2 and -1.75 (receive) in 10k.
SOFR: Short Setting & Long Cover Seen In Futures On Tuesday
OI data suggests that net short setting dominated through the reds as SOFR futures sold off on Tuesday, before a better mix of short setting and long cover was seen in the greens and long cover dominated in the whites.
- Firmer-than-expected JOLTS job openings data drove much of the hawkish move, although the finer details of the release were softer than the headline reading.
| 09-Dec-25 | 08-Dec-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRU5 | 1,304,279 | 1,298,677 | +5,602 | Whites | +35,190 |
SFRZ5 | 1,609,323 | 1,584,259 | +25,064 | Reds | +36,511 |
SFRH6 | 1,462,042 | 1,439,357 | +22,685 | Greens | +3,190 |
SFRM6 | 1,113,193 | 1,131,354 | -18,161 | Blues | -19,522 |
SFRU6 | 1,094,579 | 1,082,871 | +11,708 |
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SFRZ6 | 1,131,495 | 1,122,066 | +9,429 |
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SFRH7 | 853,243 | 842,651 | +10,592 |
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SFRM7 | 781,292 | 776,510 | +4,782 |
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SFRU7 | 813,697 | 800,035 | +13,662 |
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SFRZ7 | 833,822 | 837,578 | -3,756 |
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SFRH8 | 437,073 | 441,870 | -4,797 |
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SFRM8 | 397,615 | 399,534 | -1,919 |
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SFRU8 | 371,275 | 380,247 | -8,972 |
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SFRZ8 | 327,808 | 331,093 | -3,285 |
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SFRH9 | 191,324 | 196,071 | -4,747 |
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SFRM9 | 208,323 | 210,841 | -2,518 |
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US 10YR FUTURE TECHS: (H6) Bear Cycle Extends
- RES 4: 113-29+ High Oct 17 and a key resistance
- RES 3: 113-23 High Oct 23
- RES 2: 113-07/22+ High Dec 3 / High Nov 25
- RES 1: 112-10+/112-25+ Low Nov 20 / 20-day EMA
- PRICE: 111-30 @ 11:09 GMT Dec 10
- SUP 1: 111-29+ Intraday low
- SUP 2: 111-19 1.236 proj of the Oct 17 - Nov 5 - 25 price swing
- SUP 3: 111-11 1.382 proj of the Oct 17 - Nov 5 - 25 price swing
- SUP 4: 111-00 Round number support
A bearish theme in Treasuries remains intact and this week’s move down reinforces current conditions. An important short-term support at 112-07, the Nov 5 low and a bear trigger, has been cleared. The breach strengthens a bear theme and signals scope for a move towards 111-19 next a Fibonacci projection. Initial key resistance is seen at 112-25+, the 20-day EMA. A break of this average would signal a possible reversal.
