BELGIUM AUCTION PREVIEW: ORI Operation Tomorrow

We anticipate the collection of CFTC collection of positioning data will begin again for the first time in two months at today’s close – meaning this Friday could see the first full CFTC CoT positioning data since September 23rd *.

In the absence of positioning data since then, we blend the front-end of each currency’s risk reversals curve to estimate the changes in positioning since we got the last CFTC update:

• EUR: Small net long of 114,345, or 13% of OI, likely trimmed
• GBP: Very small net short of 1,964, or 1% of OI, likely extended to a larger net short
• JPY: Large net long of 79,500, or 26% of OI, likely broadly unchanged
• AUD: Large net short of 59,590, or 37% of OI, likely extended to larger net short
• NZD: Large net short of 21,120, or 38% of OI, likely short cover, turning positioning closer to flat
• CHF: Large net short of 23,018, or 32% of OI, likely slight short cover
• CAD: Large net short of 114,806, or 54% of OI, likely broadly unchanged
• MXN: Large net long of 83,433, or 57.4% of OI, likely trimmed sharply 

Full chartset here: MNIPosiCFTC.pdf

As such, we see the most notable shift in positioning as likely to be in NZD, AUD and MXN given the improvement in NZD options market positioning and the parallel deterioration of AUD and MXN options market positioning.

• * The CFTC have not confirmed this release date, but before the shutdown they did commit to resuming publication “when the federal government operations return to normal”. 

NAHB homebuilder sentiment firmed marginally in November in a mixed report, building on a larger improvement back in October. The increase over the past two months is likely helped by lower mortgage rates (aided by a reasonable decline in mortgage swap spreads) but the tailwind appears marginal with sentiment still depressed historically. 

• The NAHB housing market index was roughly as expected in its November release at 38 (cons 37), slightly extending what had been a 5pt increase to 37 in October.
• It leaves homebuilder sentiment at its highest since April, having improved from the low 30s at what had been close to lows since 2012. Still, it’s comfortably below the 66k averaged in 2019 or a long-term post-2000 average of ~50.
• Latest drivers on the month were mixed, with present sales +2pts to 41 and prospective traffic +1pt to 26, but the outlook for sales in six months’ time -3pts to 51 (albeit after an unusually strong 9pt increase in October).
• Broad sentiment by region was also mixed, with the south (easily the largest for new home sales) and west (second largest) rising 2pts, the midwest falling 2pts and northeast sliding 10pts to also fully reverse an 11pt jump. 

Surge in Tsy quarterly futures roll volumes for December'25 to March'26 outlined below. Percentage complete still in the single digits ahead the "First Notice" date of Friday, November 28. Current roll details:

• TUZ5/TUH6 appr 84,500 from -5.88 to -5.37, -5.88 last; 4% complete
• FVZ5/FVH6 appr 312,500 from -2.75 to -2.0, -2.5 last; 6% complete
• TYZ5/TYH6 appr 212,000 from 1.5 to 1.0, 1.75 last; 8% complete
• UXYZ5/UXYH6 40,800 from 5.25 to 5.5, 5.5 last; 4% complete
• USZ5/USH6 39,000 from 11.75 to 14.0, 12.75 last; 7% complete
• WNZ5/WNH6 appr 45,800 from 9.75 to 10.25, 10.0 last; 3% complete
• Reminder, Dec'25 futures don't expire until next month: 10s, 30s and Ultras on December 19, 2s and 5s on December 31. Meanwhile, Dec'25 Tsy options will expire this Friday, November 21