US TSY FUTURES: Net Long Setting Dominated On Thursday
OI data points to net long setting across the curve on Thursday, as Tsys rallied on the latest round of regional bank risk in the U.S.
- That made for over $14mln DV01 equivalent of fresh net longs being added across the curve, the largest curve-wide DV01 shift we have seen for several months.
- Long setting in TY futures (~$4.3mln DV01) provided the largest move in single contract terms.
| 16-Oct-25 | 15-Oct-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,543,572 | 4,527,423 | +16,149 | +627,805 |
FV | 6,769,496 | 6,702,237 | +67,259 | +2,947,888 |
TY | 5,474,175 | 5,409,947 | +64,228 | +4,319,765 |
UXY | 2,479,944 | 2,462,117 | +17,827 | +1,631,193 |
US | 1,898,995 | 1,878,305 | +20,690 | +2,695,872 |
WN | 2,081,766 | 2,071,263 | +10,503 | +2,021,309 |
|
| Total | +196,656 | +14,243,833 |
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LOOK AHEAD: FOMC, Housing Data and Trump In UK
US Data/Speaker Calendar (prior, estimate). All times ET
- 09/17 0700 MBA mortgage apps (9.2%, --)
- 09/17 0720 Trump in Windsor Castle arrival ceremony (press pool)
- 09/17 0830 Housing starts Aug (1428k, 1365k)
- 09/17 0830 Building permit Aug P (1362k, 1370k)
- 09/17 1130 $65bn 17-week bills
- 09/17 1400 FOMC rate decision (25bp cut expected) and SEP
- 09/17 1430 Powell presser
- 09/17 1530 Trump in State Banquet (restricted photo pool)
- 09/17 1715 Trump in post-dinner program
Source: Bloomberg, White House Pool, MNI
CROSS ASSET: The Globe waits on the Fed and Presser
- Despite some quick two way fairly contained move across assets, it is absolutely clear that the Globe is fully focused on the Fed.
- Just looking at the Volumes in the US Tnotes, a Tiny 161k lots have traded, the lowest traded volume for the December expiry.
- Cash US Tsys are trading richer, the belly underperforms, but curves are pretty much flat.
US 10YR FUTURE TECHS: (Z5) Bull Mode
- RES 4: 114-10 High Apr 7 (cont.)
- RES 3: 114-10 1.0% 10-dma envelope / High Apr 7 (cont.)
- RES 2: 114-00 Round number resistance
- RES 1: 113-29 High Sep 5
- PRICE: 113-19 @ 11:06 BST Sep 17
- SUP 1: 112-28 20-day EMA
- SUP 2: 112-05+ 50-day EMA
- SUP 3: 111-13+ Low Aug 18 and a key support
- SUP 4: 110-25 Low Aug 1
A bull-mode condition in Treasury futures remains intact. Note that the recent impulsive rally signalled an acceleration of the uptrend. Also, moving average studies are in a bull-mode position, highlighting a dominant uptrend. This suggests scope for an extension through 114-00 next and a test of 114-10, the Apr 7 high (cont). Initial firm support to watch is 112-28, the 20-day EMA.
