OPTIONS: Expiries for Jan22 NY cut 1000ET (Source DTCC)
Jan-22 11:46
- EUR/USD: $1.0345-50(E3.1bln), $1.0375(E826mln), $1.0400(E1.0bln), $1.0500(E1.1bln)
- USD/JPY: Y154.50-60($1.1bln), Y155.50($1.3bln), Y156.45($555mln)
- AUD/USD: $0.6210(A$2.1bln)
- USD/CAD: C$1.4500($829mln)
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US TSY FUTURES: Short Cover Seen In Most Contracts On Friday
Dec-23 11:38
OI data suggests net short cover was seen in most contracts during Friday’s rally, with only modest long setting in FV futures breaking the wider trend.
- WN futures saw the only DV01 equivalent positioning swing of note (~$1.8mn).
| 20-Dec-24 | 19-Dec-24 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,201,990 | 4,222,691 | -20,701 | -797,916 |
FV | 6,121,899 | 6,112,805 | +9,094 | +385,049 |
TY | 4,445,805 | 4,453,126 | -7,321 | -474,730 |
UXY | 2,148,211 | 2,153,444 | -5,233 | -461,798 |
US | 1,873,119 | 1,875,319 | -2,200 | -277,491 |
WN | 1,761,972 | 1,771,554 | -9,582 | -1,832,677 |
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| Total | -35,943 | -3,459,563 |
OUTLOOK: Price Signal Summary - EURUSD Bear Threat Remains Present
Dec-23 11:28
- In FX, EURUSD has recovered off its recent lows, however, a bearish threat remains present. The move down last week paves the way for a test of key support at 1.0335, the Nov 22 low and a bear trigger. Clearance of this level would confirm a resumption of downtrend and open 1.0311, the 1.382 projection of the Sep 25 - Oct 23 - Nov 5 price swing. Moving average studies are in a bear-mode position, highlighting a dominant downtrend. Initial firm resistance is at 1.0501, the 20-day EMA.
- A bearish trend structure in GBPUSD remains intact and last week’s move lower reinforces current conditions. Key support at 1.2487, the Nov 22 low, was pierced on Friday. A clear breach of this level would confirm a resumption of the downtrend and open 1.2446 next, the May 9 low. Moving average studies are in a bear-mode position, highlighting a dominant downtrend. Key resistance to monitor is 1.2811, the Dec 6 high. Initial resistance is 1.2670, the 20-day EMA.
- USDJPY bullish conditions remain intact and last week’s strong gains reinforce current conditions. The breach of 156.75, the Nov 15 high and a bull trigger, confirms a resumption of the uptrend and opens 159.45, the Jul 12 high. Moving average studies are in a bull-mode position highlighting a clear dominant uptrend. Initial firm support is 153.36, the 20-day EMA. A pullback would be considered corrective.
US TSYS: Busy Data, Treasury Auction Schedule Ahead
Dec-23 11:28
- Treasuries are looking modestly lower to start the new week, Christmas markets keeping volumes light (TYH5<175k). Early close Tuesday for Christmas Eve (1315ET), Wednesday full close for Christmas (Globex re-open at 1800ET), full sessions Thursday and Friday.
- Off last week's lows, the Mar'24 10Y contract currently trades -2.5 at 108-28.5, initial technical support at 108-16+ Low Dec 19 followed by 108-12+ (1.382 proj of the Oct 1 - 14 - 16 price swing).
- The trend condition in Treasury futures remains bearish and short-term gains are considered corrective. Last week’s sell-off reinforces the current bear cycle. Current 10Y yield +.0141 at 4.5363%, curves mildly steeper with 2s10s +.766 at 21.538, 5s30s +.024 at 34.387.
- Busy data and auction schedule ahead: Building Permits, Durable/Cap Goods and Chicago Fed Nat Activity Index at 0830ET; New Home Sales and Conf. Board Consumer Confidence at 1000ET.
- Shoe-horning in the Treasury supply with five auctions today: $81B 13W & $72B 26W bills at 1000ET; $48B 52W & $65B 42D CMB auctions at 1130ET; $69B 2Y notes (91282CME8) at 1300ET.
