US TSY FUTURES: Mix Of Short Setting & Long Cover Seen Tuesday
OI data points to a mix of net short setting (TU. FV. TY & UXY) and long cover (US & WN) during yesterday’s downtick in Tsy futures.
- The net short setting seen through UXY futures was more prominent in net DV01 terms.
- This bought an end to two consecutive days of fairly meaningful net long setting across most contracts.
| 28-Jan-25 | 27-Jan-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,220,016 | 4,196,161 | +23,855 | +896,759 |
FV | 6,324,506 | 6,268,576 | +55,930 | +2,327,429 |
TY | 4,864,892 | 4,864,058 | +834 | +53,589 |
UXY | 2,274,024 | 2,273,540 | +484 | +42,414 |
US | 1,950,890 | 1,962,761 | -11,871 | -1,491,074 |
WN | 1,779,494 | 1,782,629 | -3,135 | -594,492 |
|
| Total | +66,097 | +1,234,625 |
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FOREX: Greenback at Session Lows Into NY Hours
Greenback headed into the NY crossover at the session's lowest levels - while FX markets seemed to shrug off the recovery in yields into the Friday close, the dollar's certainly chasing the US 10y yield lower so far today, with EUR/USD through to print 1.0450 and GBP/USD just above the 1.2600 handle.
- For EUR/USD specifically, price has risen above the 50% retracement of the post-Fed price action at 1.0428 - making 1.0473 the next intraday level of interest on rallies.
- While FX volumes headed through the European morning at very low levels, they've caught up slightly into US trade, with the activity deficit dropping to 5-10% on the day, from ~30% at the European open.
- Despite the USD pullback, price action lacks much conviction here, with daily AUD/USD chart showing the price still well within range of cycle lows at the bear trigger of 0.6199.
STIR: SOFR FIX - 30/12/2024
| SOFR FIX - Source BBG/CME | ||
| 1M | 4.33704 | -0.01997 |
| 3M | 4.31044 | -0.01834 |
| 6M | 4.26230 | -0.02263 |
| 12M | 4.20684 | -0.03247 |
CROSS ASSET: Bunds Within Range of Lows, Higher Spanish CPI Leaves Little Mark
- Spanish inflation data came in ahead of expectations, with the headline driven by fuel prices as well as leisure. The release added some pretty to Bund prices, which shed ~20 ticks on release, but swiftly recovered the losses. Nonetheless, Bund futures remain well within range of cycle lows and the bear trigger at 132.71 - printed at the resumption of trade following the weekend.
- Currency markets trade with little conviction. The USD is marginally weaker as AUD, NZD and CAD recover off recent pullback lows, giving trade a consolidatory theme after fierce price action in the weeks leading up to Christmas.
- Stock futures are lower, pointing to another lower open on Wall Street - building on the weakness seen into the Friday close.
- Significant newsflow has been few and far between, with US domestic politics focusing on the internal Republican debate over H-1B visas and the passing of President Carter. We expect US bond and equity markets are to be closed across the Day of Mourning, set for January 9th.
- Focus for the duration of Monday trade will be on the MNI Chicago PMI at 1445GMT, expected to tick up to 43.0 from 40.2 previously. We anticipate volumes and broader liquidity to remain very light over the coming two sessions, particularly with tomorrow's European market closures and early closes elsewhere. EUR futures are posting cumulative volumes ~10% below an already subdued average for this time of day.
