US TSY FUTURES: OI Points To Short Setting In Belly & Long Cover In Wings
Feb-19 11:03
OI data points to a mix of net short setting in the belly/intermediates (FV, TY & UXY) and net long cover in the wings (TU, US & WN) between Friday and Tuesday settlements, with net curve OI effectively unchanged in DV01 equivalent terms.
- The most notable DV01 equivalent adjustment came via apparent net long cover in WN futures.
| 18-Feb-25 | 14-Feb-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 3,930,859 | 3,944,705 | -13,846 | -504,224 |
FV | 6,306,733 | 6,277,209 | +29,524 | +1,209,034 |
TY | 4,903,729 | 4,874,151 | +29,578 | +1,878,644 |
UXY | 2,302,060 | 2,292,781 | +9,279 | +806,563 |
US | 1,978,891 | 1,984,065 | -5,174 | -646,979 |
WN | 1,777,347 | 1,793,020 | -15,673 | -2,950,324 |
|
| Total | +33,688 | -207,285 |
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EURIBOR OPTIONS: Large call condor
Jan-20 10:58
Very active Option market this Morning, in Rates as Well as in Equities. Latest Euribor:
- ERM5 98.125/98.25/98.375/98.50c condor, bought for half in 16k.
EURIBOR OPTIONS: Call Fly buyer
Jan-20 10:56
ERM5 97.8125/97.9375/98.0625c fly, bought for 2 in 8k.
OUTLOOK: Price Signal Summary - S&P E-Minis Bull Cycle Still In Play
Jan-20 10:56
- In the equity space, S&P E-Minis traded higher again, Friday. Last week’s gains undermine the recent bearish theme. The contract has traded through the 50-day EMA and attention is on resistance at 6107.50, the Dec 26 high. Initial resistance is at 6068.25, the Jan 6 high. Clearance of 6107.50 would strengthen a bullish theme. Key support has been defined at 5809.00, the Jan 13 low. A reversal lower and a breach of this level would reinstate a bear theme. First support lies at 5961.75, the Jan 16 low.
- A bull cycle in the EUROSTOXX 50 futures contract remains intact. Last week’s climb resulted in a breach of 5054.00, the Jan 8 high, to confirm a resumption of the uptrend. The contract is holding on to its gains and the focus is on 5200.00. Key short-term support has been defined at 4931.00, the Jan 13 low. A break of this level would be bearish. First support lies at 5113.00, the Jan 17 low.
