EQUITIES: Rolling EU Bank calls
Jan-22 11:11
SX7E (21st Mar) vs (20th Jun) 170c, bought the June for 1.05 in 6k.
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US TSY FUTURES: CFTC Shows Hedge Funds & A Managers Trimming Exposure Into FOMC
Dec-23 11:06
The latest CFTC CoT report pointed to both hedge funds and asset managers reducing net exposure ahead of last week’s FOMC decision (survey cut off 17 December).
- Hedge funds trimmed net shorts in most contracts (TU, FV, TY & WN), comfortably outweighing additions to existing net shorts in UXY & US. The cohort remains net short across all contracts.
- Asset managers added to longs in TU, TY & US, but cut net longs across the remainder of the curve, with the latter dominating from a net DV01 equivalent perspective. The cohort remains net long across all contracts.
- Non-commercial net positioning saw a mix of net shorts being added to (TU, UXY, US & WN) and trimmed (FV & TY). The cohort remains net short across all contracts.
- CFTC CoT positioning metrics will be skewed by the presence of basis trades.
Source: MNI - Market News/CFTC/Bloomberg
STIR: SOFR FX - 23/12/24
Dec-23 11:00
| SOFR FIX - Source BBG/CME | ||
| 1M | 4.33874 | 0.0022 |
| 3M | 4.32594 | -0.00148 |
| 6M | 4.27159 | -0.00462 |
| 12M | 4.21088 | -0.01309 |
OUTLOOK: Price Signal Summary - Corrective Cycle In S&P E-Minis Remains In Play
Dec-23 10:55
- A sell-off in the S&P E-Minis contract on Dec 18 highlights a short-term top and a corrective cycle. The move down resulted in a breach of the 20- and 50-day EMAs. A resumption of weakness would open 5811.65, 38.2% of the Aug 5 - Dec 6 bull leg. Support at 5921.00, Nov 19 low, has been pierced. A clear break of it would strengthen a bearish threat. Initial resistance is 6067.90, the 20-day EMA. A clear break of it would be a bullish development.
- A bull cycle in the EUROSTOXX 50 futures contract remains intact, however, the recent move down highlights a corrective cycle and a short-term bear threat remains present - for now. Price has traded through the 50-day EMA, at 4922.49. The Dec 20 sell-off resulted in a print below 4846.57, 61.8% of the Nov 21 - Dec 9 bull cycle. Key short-term resistance has been defined at 5040.00, the Dec 9 high. Initial resistance is at 4935.29, the 20-day EMA.
