STIR: Holding Swing Off Dovish Extremes, ISM Services and Beige Book Ahead
* Fed Funds implied rates consolidate yesterday's lift off recent dovish extremes, aided by spillo...
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STIR: Mix Of Net Short Setting & Long Cover In SOFR Futures On Friday
OI data points to a mix of net short setting and long cover in SOFR futures on Friday, with the only outright net positioning swing of any note coming via net short setting in SFRM5 (~15K, which accounted for less than 1.5% of outstanding OI).
| 31-Jan-25 | 30-Jan-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRZ4 | 1,089,556 | 1,085,831 | +3,725 | Whites | +19,349 |
SFRH5 | 1,213,684 | 1,217,522 | -3,838 | Reds | -10,004 |
SFRM5 | 1,073,919 | 1,058,543 | +15,376 | Greens | +4,355 |
SFRU5 | 774,414 | 770,328 | +4,086 | Blues | -6,741 |
SFRZ5 | 958,695 | 955,673 | +3,022 |
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SFRH6 | 682,080 | 690,312 | -8,232 |
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SFRM6 | 636,078 | 637,997 | -1,919 |
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SFRU6 | 594,408 | 597,283 | -2,875 |
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SFRZ6 | 692,856 | 701,591 | -8,735 |
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SFRH7 | 485,031 | 481,031 | +4,000 |
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SFRM7 | 412,863 | 406,599 | +6,264 |
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SFRU7 | 290,400 | 287,574 | +2,826 |
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SFRZ7 | 275,864 | 278,791 | -2,927 |
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SFRH8 | 218,970 | 219,929 | -959 |
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SFRM8 | 180,985 | 183,297 | -2,312 |
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SFRU8 | 120,100 | 120,643 | -543 |
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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 |
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| Total | -48,152 | -1,823,534 |
