FINANCIALS: Final Spread: BNP Paribas EUR Benchmark 6NC5 SNP
Jan-08 11:20
Final Spread: BNP Paribas EUR Benchmark 6NC5 SNP MS+120 * IPT:MS+150 * We see FV: MS+120 * Books >5...
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US TSY FUTURES: Long Setting Dominated After NFPs
Dec-09 11:19
OI data points to net long setting across the curve in reaction to Friday’s NFP print, with the largest net DV01 equivalent positioning swings coming in UXY, FV & WN futures.
- Adjustments elsewhere were more modest, suggesting that short cover provided a bit more of an offset in TU, TY & US futures.
| 06-Dec-24 | 05-Dec-24 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,313,988 | 4,313,117 | +871 | +34,368 |
FV | 6,019,575 | 5,975,692 | +43,883 | +1,901,734 |
TY | 4,463,366 | 4,463,120 | +246 | +16,445 |
UXY | 2,219,147 | 2,187,606 | +31,541 | +2,889,644 |
US | 1,852,861 | 1,848,750 | +4,111 | +549,894 |
WN | 1,769,306 | 1,761,836 | +7,470 | +1,556,939 |
|
| Total | +88,122 | +6,949,024 |
CROSS ASSET: Risk is turning negative
Dec-09 11:18
- Bund and Tnotes are hovering back at their respective lows, {us} Risk is also turning negative, VGZ4 is back to flat, but the US Emini leads lower, all in very small size and nothing fast.
- Overall the Emini is closer to its new record high printed on Friday at 6111.00, but a pullback down to 6076.00, would be testing Friday's low.
LOOK AHEAD: Monday Data Calendar: Wholesale Trade/Inv's, NY Fed 1Y Inflation Exp
Dec-09 11:15
- US Data/Speaker Calendar (prior, estimate)
- Dec-9 1000 Wholesale Trade Sales MoM (0.2%, 0.2%)
- Dec-9 1000 Wholesale Inventories MoM (0.3%, --)
- Dec-9 1100 NY Fed 1-Yr Inflation Expectations (2.87%, --)
- Dec-9 1130 US Tsy $81B 13W & $72B 26W bill auctions
