US TSY FUTURES: Net Short Cover Dominated On Wednesday
OI data points to net short cover in TY & UXY futures dominating during Wednesday’s rally, complemented by more modest short cover in FV & US.
- Modest rounds of net long setting in the wings (TU & WN) left curve-wide positioning tilted comfortably towards net short cover.
| 16-Jul-25 | 15-Jul-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,371,317 | 4,357,380 | +13,937 | +524,508 |
FV | 7,011,985 | 7,024,159 | -12,174 | -521,463 |
TY | 4,837,723 | 4,889,870 | -52,147 | -3,413,538 |
UXY | 2,405,903 | 2,417,895 | -11,992 | -1,034,296 |
US | 1,794,216 | 1,796,789 | -2,573 | -347,866 |
WN | 1,962,229 | 1,961,760 | +469 | +83,344 |
|
| Total | -64,480 | -4,709,312 |
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CROSS ASSET: BofA Fund Manager Survey Points To Ongoing U/weight In USD Assets
The latest Bank of America fund manager survey suggested that funds remain underweight global equities (although this narrowed to a net 2% underweight from 13% the month prior) and bonds (net underweight 5% vs. 1% the month prior), while they remain overweight cash (net 16% overweight vs. 26% the month prior).
- The survey details point to a continued hesitance to redeploy assets in the U.S.
- A net 61% of investors surveyed suggest that the USD is overvalued vs. 57% last month. Bank of America note that the current USD valuation is 1.5 standard deviations above the long-term average, based on a trade weighted index.
- Investors responding to the survey are a net 36% underweight U.S. equities vs. 38% last month. The current allocation is 1.7 standard deviations below the long-term average.
- Note that the survey took place between June 6-12, before the surge in geopolitical risk in the Middle East.
OUTLOOK: Price Signal Summary - Monitoring Support In The EUROSTOXX50 Contract
- In the equity space, the trend condition in S&P E-Minis is unchanged, it remains bullish and the contract traded to a fresh cycle high last Wednesday, reinforcing current bullish conditions. For now, the most recent pullback is considered corrective. The contract has pierced support at 6000.18, the 20-day EMA. A clear breach of this average would expose the 50-day EMA, at 5890.99. Key short-term resistance and the bull trigger, has been defined at 6128.75, the Jun 11 high.
- The latest pullback in the EUROSTOXX 50 futures contract has resulted in a breach of the 50-day EMA at 5299.04. Price has also pierced 5255.00, the May 23 low. A clear break of both support points would signal a short-term top and highlight scope for a deeper retracement. This would open 5178.00, the May 6 low and 5081.16, 38.2% of the Apr 7 - May 20 bull leg. Initial resistance to watch is 5363.03, the 20-day EMA.
EU-BOND SYNDICATION: 3.375% Oct-39 EU-bond: E5bln WNG: Allocations out
- Spread set at MS+73bps (guidance was MS + 75bps area)
- HR: 88% vs 4.25% Jul-39 Bund (DE0001135325)
- Tap Size set earlier: E5bln (WNG) (the bottom of the E5-9bln range MNI expected)
- Final books in excess of E93bln (inc E5.9bln JLM interest)
- ISIN: EU000A3LZ0X9 (immediately fungible)
- JLMs: BofA (DM/B&D) / GSBE SE / NatWest / SG / UBS
- Timing: Hedge deadline 11:10BST / 12:10CET. Pricing later today
