US TSY FUTURES: Short Setting In The Long End Dominated On Thursday
OI data points to a mix of net short cover (TU), net short setting (FV, US & WN) and long cover (TY & UXY) during Thursday’s twist steepening of the curve.
- The net short setting in US & WN futures dominated in DV01 equivalent terms.
| 19-Dec-24 | 18-Dec-24 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,223,583 | 4,228,301 | -4,718 | -182,275 |
FV | 6,110,645 | 6,093,976 | +16,669 | +706,560 |
TY | 4,453,426 | 4,454,886 | -1,460 | -94,706 |
UXY | 2,153,940 | 2,159,407 | -5,467 | -482,374 |
US | 1,875,093 | 1,851,306 | +23,787 | +3,000,675 |
WN | 1,771,641 | 1,766,642 | +4,999 | +956,884 |
|
| Total | +33,810 | +3,904,765 |
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US 10YR FUTURE TECHS: (Z4) Bearish Trend Condition
- RES 4: 112-22 High Oct 16 and a key short-term resistance
- RES 3: 111-17+ 50-day EMA
- RES 2: 111-14+ High Oct 25
- RES 1: 110-12 20-day EMA
- PRICE: 109-18+ @ 10:58 GMT Nov 20
- SUP 1: 108-30/18+ Low Nov 15 / 1.236 proj of Oct 1 - 10 - 16 swing
- SUP 2: 108-03 1.382 proj of the Oct 1 - 10 - 16 price swing
- SUP 3: 108-00 Round number support
- SUP 4: 107-17 2.0% 10-dma envelope
The trend condition in Treasuries is unchanged, it remains bearish and short-term gains are considered corrective. Moving average studies are in a bear-mode set-up, highlighting a clear downtrend and bearish market sentiment. Sights are on 108-18+ next, a Fibonacci projection. Further out, the focus is on the 108-00 handle. Initial firm resistance is unchanged at the 20-day EMA. The average is at 110-10+.
EU-BILL AUCTION RESULTS: 3/6-Month Bills
| Type | 3-month EU-bill | 6-month EU-bill |
| Maturity | Feb 7, 2025 | May 9, 2025 |
| Amount | E1.283bln | E1.898bln |
| Target | E1.5bln | E2.0bln |
| Previous | E1.418bln | E1.8bln |
| Avg yield | 2.913% | 2.781% |
| Previous | 2.997% | 2.811% |
| Bid-to-cover | 1.33x | 1.32x |
| Previous | 2.14x | 2.04x |
| Previous date | Nov 06, 2024 | Nov 06, 2024 |
EGB OPTIONS: Schatz Option has been corrected
Looks like this trade was busted wrong premium: DUH5 107.20/107.70cs 1.1.5, bought for 4.25 in 10k.
- Corrected trade: DUH5 107.20/107.70cs 1x1.5, bought for 9.5 in 10k.
