US TSY FUTURES: OI Suggests Long Cover Dominated Net Positioning Swing On Tuesday
Aug-16 09:58
The combination of preliminary open interest data and Tuesday’s price action point to long covering in Tsy futures dominating from a net positioning perspective.
- FV, TY and WN futures seemingly saw longs covered on net, with the most notable OI DV01 equivalent swing coming in the WN futures contract.
- Meanwhile, UXY & US futures seemingly saw fresh shorts added on net.
- The small uptick in TU pricing and uptick in OI point to a limited addition of fresh longs in that contract on net.
| 15-Aug-23 | 14-Aug-23 | Daily OI Change | OI DV01 Equivalent Change ($) | |
| TU | 3,764,034 | 3,762,387 | +1,647 | +59,287 |
| FV | 5,587,469 | 5,628,803 | -41,334 | -1,712,486 |
| TY | 4,773,163 | 4,789,282 | -16,119 | -1,048,941 |
| UXY | 1,838,858 | 1,834,641 | +4,217 | +384,439 |
| US | 1,327,664 | 1,327,251 | +413 | +56,677 |
| WN | 1,536,604 | 1,557,995 | -21,391 | -4,321,085 |
| Total | -72,567 | -6,582,109 |
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BONDS: Pullbacks From Best Levels Limited Amidst Crude Headline Confusion, Fresh Highs Now Seen
Jul-17 09:48
The mild retracement in core global FI futures from previous session bests is nullified as the spike higher in crude oil futures is unwound owing to Reuters retracting earlier headlines surrounding Saudi output pledges, stating it was a repeat of old news. TY, Bund & Gilt futures reach fresh session highs at typing as a result of the headline retraction, with crude futures hovering around session lows.
BONDS: Weaker Chinese growth and US-China tensions help lift core FI
Jul-17 09:45
- Core fixed income has moved higher this morning, largely seen as in response to the softer Chinese GDP data and continued US-China tensions.
- Softer crude pricing had also helped push core FI higher, until a headline from Reuters suggesting Saudi Arabia would continue its voluntary cuts until the end of next year (although this headline has since been retracted with a correction issued).
- TY1 futures are up 0-9 today at 112-27 with 10y UST yields down -5.5bp at 3.779% and 2y yields down -5.1bp at 4.719%.
- Bund futures are up 0.38 today at 133.19 with 10y Bund yields down -4.4bp at 2.435% and Schatz yields down -0.3bp at 3.194%.
- Gilt futures are up 0.26 today at 952.22 with 10y yields down -4.4bp at 4.396% and 2y yields down -3.7bp at 5.149%.
DUTCH T-BILL AUCTION RESULTS: 3.5-month DTCs
Jul-17 09:39
| Type | 3.5-month DTC |
| Maturity | Oct 30, 2023 |
| Amount | E1.71bln |
| Target | E1-2bln |
| Previous | E760mln |
| Avg yield | 3.560% |
| Previous | 3.405% |
| Bid-to-cover | 1.54x |
| Previous | 2.55x |
| Previous date | Jul 03, 2023 |
