US TSY FUTURES: Net Long Setting Dominated On Thursday
OI data points to long setting dominating as Tsy futures rallied on Thursday.
- Over $6mln DV01 of fresh net long exposure was added across the curve, with net short cover in UXY & WN providing some interruption to the wider theme.
- The biggest net positioning swing came in FV futures (~$5.6mln DV01).
- Soft labor market data and ongoing headwinds for U.S. tech names in equity trade drove demand for Tsys on the day.
| 05-Feb-26 | 04-Feb-26 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,767,395 | 4,719,317 | +48,078 | +1,774,826 |
FV | 6,919,123 | 6,788,168 | +130,955 | +5,618,003 |
TY | 5,489,346 | 5,460,738 | +28,608 | +1,882,455 |
UXY | 2,569,210 | 2,598,455 | -29,245 | -2,605,340 |
US | 1,721,970 | 1,716,563 | +5,407 | +763,603 |
WN | 2,181,586 | 2,187,420 | -5,834 | -1,068,226 |
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| Total | +177,969 | +6,365,322 |
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LOOK AHEAD: Wednesday Data Calendar: ADP, ISM Services, JOLTS, Fed VC Bowman
- US Data/Speaker Calendar (prior, estimate). All times ET
- 01/07 0700 MBA Mortgage Applications
- 01/07 0815 ADP Employment Change (-32k, 50k)
- 01/07 0830 Chicago Fed CARTS
- 01/07 1000 ISM Services Index (52.6, 52.2), Prices Paid (65.4, 64.9)
- 01/07 1000 JOLTS Job Openings (7.67M, 7.648M), Quits (2.941M, 2.995M)
- 01/07 1000 Factory Orders (0.2%, -1.2%), Durable Goods Orders (-2.2%, -2.2%)
- 01/07 1130 US Tsy $69B 17W bill auction
- 01/07 1430 Pres Trump signs executive orders, closed press
- 01/07 1610 Fed VC Bowman on bank supervision/regulation (text, Q&A)
- Source: Bloomberg Finance L.P. / MNI
GILT TECHS: (H6) Breaches Resistance
- RES 4: 92.72 1.618 proj of the Dec 16 - 17 - 22 price swing
- RES 3: 92.57 1.00 proj of the Nov 19 - 27 - Dec 16 price swing
- RES 2: 92.23 1.236 proj of the Dec 16 - 17 - 22 price swing
- RES 1: 92.09 Intraday high
- PRICE: 92.02 @ 11:13 GMT Jan 7
- SUP 1: 91.53 Intraday low
- SUP 2: 91.13 20-day EMA
- SUP 3: 90.70 Low Jan 2
- SUP 4: 90.50 Low Dec 16 and a key support
Gilt futures have traded sharply higher today and the contract is through resistance at 91.93, the Nov 27 high. This strengthens a short-term bullish condition and paves the way for a climb towards 92.57, a Fibonacci projection. Initial support is seen at 91.53, today’s intraday low. Support at the 20-day EMA lies at 91.13. A break through the average would signal a possible reversal.
SOFR: Bias Towards Net Short Setting In Futures On Tuesday
OI data points to net short setting dominating (in pack terms) through the greens as most SOFR futures ticked lower on Tuesday.
- We can't provide any real inference when it comes to the blues, where prices were unchanged on the day come settlement.
| 06-Jan-26 | 05-Jan-26 | Daily OI Change |
| Daily OI Change In Packs |
SFRZ5 | 1,475,063 | 1,495,953 | -20,890 | Whites | +18,281 |
SFRH6 | 1,298,566 | 1,287,972 | +10,594 | Reds | +22,281 |
SFRM6 | 1,172,386 | 1,150,433 | +21,953 | Greens | +30,722 |
SFRU6 | 1,220,630 | 1,214,006 | +6,624 | Blues | -3,272 |
SFRZ6 | 1,194,582 | 1,169,316 | +25,266 |
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SFRH7 | 866,124 | 863,396 | +2,728 |
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SFRM7 | 758,450 | 759,212 | -762 |
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SFRU7 | 792,979 | 797,930 | -4,951 |
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SFRZ7 | 864,386 | 853,582 | +10,804 |
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SFRH8 | 469,970 | 471,759 | -1,789 |
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SFRM8 | 420,456 | 404,218 | +16,238 |
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SFRU8 | 368,702 | 363,233 | +5,469 |
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SFRZ8 | 348,133 | 348,698 | -565 |
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SFRH9 | 215,390 | 217,749 | -2,359 |
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SFRM9 | 216,336 | 215,124 | +1,212 |
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SFRU9 | 169,479 | 171,039 | -1,560 |
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