US TSY FUTURES: OI Indicates Net Short Cover In TY Futures On Thursday
OI points to a mix of modest net long setting and short cover across much of the futures curve on Thursday, with net short cover in TY futures providing the only DV01 equivalent swing of any note.
- Still, the net short cover seen in TY futures only accounted for a little over half of the net short setting seen in the contract on Wednesday (the latter stood at ~$3.38mln in DV01 equivalent terms).
- The early close and thinner desks owing to the U.S. day of mourning for former President Carter helps explain the limited positioning movement.
| 09-Jan-25 | 08-Jan-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,307,777 | 4,297,391 | +10,386 | +398,655 |
FV | 6,177,055 | 6,173,595 | +3,460 | +144,396 |
TY | 4,664,036 | 4,693,497 | -29,461 | -1,882,277 |
UXY | 2,211,677 | 2,208,735 | +2,942 | +254,749 |
US | 1,934,550 | 1,937,199 | -2,649 | -324,418 |
WN | 1,778,474 | 1,777,394 | +1,080 | +197,213 |
|
| Total | -14,242 | -1,211,683 |
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EQUITIES: EU Bank rolling call
SX7E (20th dec) vs (17th jan) 148c, bought he Jan for 1.85 in 6k.
CROSS ASSET: Triple Witching into Year end
- Next Week sees the Prelim PMIs, the FOMC, but it will conclude with Equity Triple Witching, when desks roll/close their Year end Posies into 2025.
- While it is still early on rolling, would expect that to pick up Friday and into next week, with only 10% of the Front Month in Estoxx (VGZ4) spread related, one really stands out today, close to half the front Month volume in EU Bank stock futures (CAZ4) is spread related, just traded in 20k at -50, the mid of the -52/-48 bid/offer.
Looking at Option expiries on the 20th Dec in Notional terms:
- SPX: $3.31T.
- NDX: $117.66bn.
- Amazon: $12.56bn.
- Apple: $22.07bn.
- SX5E: €425.22bn.
- SX7E: €25.59bn.
- DAX: €56.74bn.
- CAC: €8.63bn.
- FTSE: £54.58bn.
US 10YR FUTURE TECHS: (H5) Bull Cycle Remains In Play
- RES 4: 112-18 50.0% retracement of the Sep 11 - Nov 15 bear leg
- RES 3: 112-02 Low Oct 14
- RES 2: 111-24 38.2% retracement of the Sep 11 - Nov 15 bear leg
- RES 1: 111-20+ High Dec 6
- PRICE: 110-28 @ 11:11 GMT Dec 11
- SUP 1: 110-18 Low Dec 4
- SUP 2: 110-01/109-20 Low Nov 25 / Low Nov 20/21
- SUP 3: 109-02+ Low Nov 15 and the bear trigger
- SUP 4: 108-28 1.236 proj of the Oct 1 - 14 - 16 price swing
A bull cycle in Treasuries remains in play despite this week's fade in prices. Recent gains reinforce the current bullish condition. The contract has traded through the 50-day EMA, at 111-11+. A clear break of the average would strengthen a bullish theme and open 111-24 next, 38.2% of the Sep 11 - Nov 15 bear leg. For bears, a reversal lower would signal the end of the bull cycle and open 109-02+, Nov 15 low. Initial supp is 110-18, the Dec 4 low.
