US TSY FUTURES: NEt Short Setting Most Prominent On Wednesday
OI data points to a mix of net short setting (TU, UXY, US & WN) and long cover (FV & TY) as contracts ultimately settled lower on Wednesday, in the wake of the latest FOMC decision.
- There was a bias towards net short setting in curve-wide terms.
- Volatile, two-way trade surrounding the FOMC decision and Fed Chair Powell's comments seemed to make for fairly low-committal trade.
| 17-Sep-25 | 16-Sep-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,492,826 | 4,486,589 | +6,237 | +215,962 |
FV | 6,749,635 | 6,756,177 | -6,542 | -290,626 |
TY | 5,399,881 | 5,408,626 | -8,745 | -577,036 |
UXY | 2,373,592 | 2,373,575 | +17 | +1,505 |
US | 1,831,772 | 1,823,229 | +8,543 | +1,228,249 |
WN | 2,027,194 | 2,018,560 | +8,634 | +1,638,985 |
|
| Total | +8,144 | +2,217,040 |
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EQUITY OPTIONS: Estoxx Put Spread
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UK DATA: Retail sales delay due to "further quality assurance needed"
- The ONS has said the retail sales delay is due to "further quality assurance needed".
- This is the latest in a series of ONS delays to data releases (with PPI data still not being released monthly, trade data having to be corrected recently etc too)
- Link here: https://www.ons.gov.uk/releases/retailsalesgreatbritainjuly2025#changestothisreleasedate
BONDS: 10-year Gilt/Bund Spread Consolidates Yesterday’s Widening
The 10-year Gilt/Bund spread has broadly consolidated yesterday’s widening, currently 1bp narrower on the session at 196bps. The 200bp handle presents initial resistance for the spread, which will be in focus if UK CPI is higher-than-expected tomorrow morning.
- 10-year Gilt yields were unable to push above 4.75%, currently -1bp at 4.73%. The 4.80% handle presents a key near-term resistance. Yesterday’s selloff appeared to be due to ongoing concerns around the UK’s fiscal outlook, coupled with hawkish-leaning BOE signals since the August decision.
- German yields are up to 0.5bps higher across the curve, with the 2.80% handle presenting initial resistance for the 10-year. 30-year yields briefly reached a fresh multi-year high of 3.362% earlier. For now, the 103bp handle has capped upside in the German 5s30s curve.
- 2.20% Oct-30 Bobl supply saw stronger results than the previous re-opening.
- EU-bonds underperform Bunds, after Bloomberg reported overnight that ICE will not include EU-wide joint debt in its sovereign bond indices. 10-year spreads are 2.5bps wider today at ~31.5bps, with other EGB spreads to Bunds up to 1bp tighter on the session.
- In futures, Gilts are +6 ticks at 90.65, off earlier session lows of 90.43. Bunds are +9 ticks at 128.92. Bearish technical conditions remain in play for both contracts.
- The Eurozone June current account surplus widened to E35.8bln (vs E31.8bln prior).
- The remainder of today’s Eurozone/UK calendar is light, while Russia/Ukraine headline flow is still being monitored. The UK ONS has announced a delay to Friday’s retail sales release.
