US TSY FUTURES: Net Long Setting Seen Across The Curve On Wednesday
OI data points to net long setting across all contracts during yesterday’s rally, with nearly $10mln DV01 equivalent of fresh net exposure added across the curve.
- The most meaningful net long setting seemed to come in FV futures.
| 16-Apr-25 | 15-Apr-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,038,667 | 3,990,944 | +47,723 | +1,794,078 |
FV | 6,474,022 | 6,402,110 | +71,912 | +3,106,069 |
TY | 4,777,800 | 4,755,493 | +22,307 | +1,444,636 |
UXY | 2,234,458 | 2,219,886 | +14,572 | +1,287,998 |
US | 1,805,476 | 1,801,369 | +4,107 | +523,316 |
WN | 1,843,495 | 1,835,728 | +7,767 | +1,439,134 |
|
| Total | +168,388 | +9,595,231 |
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US TSY FUTURES: Bias Towards Cover During Monday's Twist Flattening
OI data points to a mix of positioning swings during yesterday’s twist flattening of the curve, with net long cover (TU & FV), short setting (TY), short cover (UXY & US) & long setting (WN).
- Cover was more prominent than fresh position setting.
| 17-Mar-25 | 14-Mar-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 3,820,377 | 3,876,496 | -56,119 | -2,193,273 |
FV | 6,287,715 | 6,345,421 | -57,706 | -2,517,925 |
TY | 4,806,012 | 4,789,614 | +16,398 | +1,053,502 |
UXY | 2,266,760 | 2,269,424 | -2,664 | -237,175 |
US | 1,777,455 | 1,777,979 | -524 | -68,359 |
WN | 1,777,929 | 1,776,779 | +1,150 | +224,652 |
|
| Total | -99,465 | -3,738,578 |
EQUITIES: EU Bank put spread buyer
SX7E (20th June) 155/150ps, bought for 0.25 and 0.45 in 15k.
ECB: Rehn: Focusing On Ukraine Ceasefire and US Tariffs Ahead of April
The Q&A with Bank of Finland Govenor Rehn has started:
Q: I would like to talk about some of the forces you’re going to learn about in the next few weeks. I’m curious which way the arguments go considering inflation is stabilizing around target and growth weakening. We're going to find out about whether tariffs actually put in place and size, but fiscal on the other side and potentially a long while away. What might you learn between now and the April meeting to do anything other than cut again?
Rehn: There are two main factors that will be focusing on: i) Ceasefire/peace agreement between the US, Russia, Ukraine and Europe [and defence spending], and ii) protectionist measures taken by Europe. Trying to make sense of the timeline of the two.
- As regards trade policy, the effect is fairly immediate. We may assume a quite strong effect into next year, adversely on growth, as seen in 2018/19. The impact on inflation cannot be ex ante defined.
- Defence spending would have a rapid impact on growth under an optimistic view, although there are always delays in execution which suggests it would be more over the medium term. Over the short-term expect some growth dampening effects before more positive over the medium term.
