EGB OPTIONS: Expiries for Mar05 NY cut 1000ET (Source DTCC)
* EUR/USD: $1.0300-20(E1.7bln), $1.0325-35(E1.1bln), $1.0430-50(E1.3bln), $1.0500-05(E746mln) * US...
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US 10YR FUTURE TECHS: (H5) Holding On To The Bulk Of Its Recent Gains
- RES 4: 110-25 High Dec 12
- RES 3: 110-19 76.4% retracement of the Dec 6 - Jan 13 bear leg.
- RES 2: 109-31 High Dec 18
- RES 1: 109-10+/13 50-day EMA / High Jan 30
- PRICE: 108-28+ @ 11:07 GMT Feb 3
- SUP 1: 108-23+ 20-day EMA
- SUP 2: 108-06/107-06 Low Jan 23 / 13 and the bear trigger
- SUP 3: 107-04 Low Apr 25 ‘24 and a key support
- SUP 4: 106-11 2.00 proj of the Oct 1 - 14 - 16 price swing
Treasury futures are trading in a tight range. A bullish corrective cycle is intact and the contract is holding on to its recent gains. 109-10+, the 50-day EMA, remains exposed. It has been pierced, a clear break of it would strengthen a bullish theme and open 109-31, the Dec 18 high. The medium-term trend condition is bearish. The bear trigger is 107-06, the Jan 13 low. Initial firm support has been defined at 108-06, the Jan 23 low.
US TSY FUTURES: Long Cover In TY Futures Dominated On Friday
OI data points to a mix of net short setting (FV, UXY, US & WN futures) and net long cover (TU & TY futures) ahead of the weekend, with late Friday trade being dominated by tariff headlines that weighed on Tsy futures.
- The size of the DV01 equivalent swing in TY futures (~$5.6mln) mean that net long cover dominated in curve-wide terms.
| 31-Jan-25 | 30-Jan-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,185,319 | 4,201,993 | -16,674 | -621,291 |
FV | 6,380,403 | 6,358,074 | +22,329 | +924,327 |
TY | 4,882,499 | 4,969,360 | -86,861 | -5,557,174 |
UXY | 2,319,904 | 2,294,916 | +24,988 | +2,184,165 |
US | 1,959,119 | 1,954,714 | +4,405 | +552,724 |
WN | 1,792,085 | 1,788,424 | +3,661 | +693,717 |
|
| Total | -48,152 | -1,823,534 |
CANADA: Latest Tariff State Of Play
- Trump imposed 25% tariffs on all Canadian goods except for a partial carve-out with 10% on energy (including oil & electricity), along with 25% tariffs on Mexico and 10% on China plus threats of upcoming tariffs on the EU.
- The measures take effect at 0001ET on Tuesday leaving only a small window for last-minute negotiations. Trump and Trudeau are set to speak Monday morning (currently nothing more specific on timing) but Trump has said “I don’t expect anything very dramatic […] We put tariffs on. They owe us a lot of money, and I’m sure they’re going to pay”. Such a quick roll back could be humiliating.
- The tariffs will also aim to close the “de minimis” loophole that saw exemption for packages worth less than $800.
- The Canadian response has been swift. It will retaliate with 25% tariffs on C$155bn of US goods, C$30bn taking effective also on Tue before the remaining C$125bn in three weeks to allow businesses time to prepare.
- The first wave of Canadian retaliation focused on previously touted areas such as alcohol, coffee, clothing and shoes, furniture, household appliances plus products from Republican-leaning states. A second wave is more industrial focused and includes cars and trucks, agricultural products, steel and aluminum and aerospace products.
- USDCAD hit 1.4793 in Asia hours to punch through 2016 and Covid highs for levels last seen in 2003. It’s since pulled back to 1.4670-1.4680. We earlier noted some $3bn of option expiry set to roll off between C$1.4740-1.4800 on Friday after dual US and Canadian jobs reports.
- CORRA futures implied yields are ~10bp lower from Friday’s close in thin early trading. Downside growth impacts dominate but the immediate Canadian retaliation keeps an inflation angle at play.
- BoC analysis published Wednesday showed US 25% tariffs on all imported goods and all trading partners with full retaliation would see Canadian GDP growth 2.4pps lower in year 1 before 1.5pps lower in year 2. CPI inflation would be just 0.1pp higher in year before a more significant 0.5pp in year 2 and 1.0pp in year 3. Note here.
