US TSY FUTURES: Notable Reduction In Exposure On Wednesday
OI data points to meaningful net liquidation of Tsy longs during Wednesday’s sell off, with over $25mln of DV01 equivalent exposure shed across the curve.
- The most sizeable net positioning adjustment came in FV futures.
| 09-Apr-25 | 08-Apr-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 3,924,690 | 4,022,145 | -97,455 | -3,710,706 |
FV | 6,323,117 | 6,488,689 | -165,572 | -7,183,149 |
TY | 4,848,024 | 4,885,507 | -37,483 | -2,404,675 |
UXY | 2,306,954 | 2,354,791 | -47,837 | -4,251,702 |
US | 1,786,899 | 1,839,645 | -52,746 | -6,800,395 |
WN | 1,825,841 | 1,830,590 | -4,749 | -891,935 |
|
| Total | -405,842 | -25,242,563 |
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US DATA: Small Business Optimism Further Off Highs, Hawkish Price Details
- NFIB small business optimism eased again in February to 100.7 (cons 101.0) from 102.8 in Jan for a further retreat from the recent high of 105.1 in December.
- It’s come against a further increase in the uncertainty index to 104 for its second highest reading in the series history (highest being 110 in Oct ahead of the presidential election).
- That said, optimism is still elevated by recent standards, having averaged 91 through 2022-Oct 2024 and it’s still close to the 103 averaged in 2019 prior to the pandemic.
- The price components of the survey saw a hawkish tilt: the net share reporting price increases over past three months jumped from 22% to 32% (highest since May 2023) and the net share expecting to increase prices over the next three months rose from 26% to 29% (above 28% in Nov-Dec for highest since Mar 2024) - all seasonally adjusted figures.
- The latter is at a level that will continue to imply difficulty in fully returning to the 2% inflation target should historical relationships hold - see charts.
US TSY FUTURES: Long Setting Seen Across The Curve On Monday
OI data points to fresh net longs being set across the curve during Monday’s rally, with a net ~$5.2mln of DV01 equivalent exposure added.
- FV futures saw the largest net positioning swing on the day.
| 10-Mar-25 | 07-Mar-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 3,883,685 | 3,877,744 | +5,941 | +235,145 |
FV | 6,178,545 | 6,122,631 | +55,914 | +2,464,941 |
TY | 4,698,993 | 4,684,632 | +14,361 | +932,699 |
UXY | 2,227,256 | 2,217,924 | +9,332 | +840,552 |
US | 1,766,702 | 1,765,187 | +1,515 | +200,370 |
WN | 1,759,685 | 1,757,228 | +2,457 | +488,470 |
|
| Total | +89,520 | +5,162,178 |
OPTIONS: Expiries for Mar11 NY cut 1000ET (Source DTCC)
- EUR/USD: $1.0540-50(1.2bln), $1.0800-15(E752mln), $1.0875(E504mln)
- USD/JPY: Y146.45-65($1.0bln), Y148.70($543mln)
- EUR/GBP: Gbp0.8325-35(E626mln)
- AUD/USD: $0.6300-10(A$946mln), $0.6385(A$2.5bln)
- NZD/USD: $0.5645(N$652mln)
- USD/CAD: C$1.4390-00($943mln), C$1.4470($617mln)
