@Interest_Rates
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News and insights from @CMEGroup's leading interest rate derivatives marketplace.
Chicago, IL
Joined May 2023
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CME Group Interest Rates retweeted
Huge build up in Treasury futures open interest as yields have propelled. Yesterday $9m/01 of 10-year notes added 😲
Bond bears still feasting 🐻🍔 @Interest_Rates
Interest Rates options added 1.28M contracts of open interest (OI) yesterday, led by SR3 (+700K), TY (+485K) and FV (+240K).
SR3 heatmap by OI change day over day 👇
View the heatmap for FV, US and TU 👇
spr.ly/6010BG94ck
CME Group Interest Rates retweeted
Ultra 10 options open interest tops 90K contracts, +5X YTD.
Treasury traders looking for precise 10-year options exposure are increasingly turning to Ultra 10, where vastly improved liquidity is enabling institutional flow.
Ultra 10 options open interest tops 90K contracts, +5X YTD.
Treasury traders looking for precise 10-year options exposure are increasingly turning to Ultra 10, where vastly improved liquidity is enabling institutional flow.
With hawkish consensus building, demand for protection against a less aggressive Fed is rising.
Good read from @EddBolingbroke highlighting the recent build up of open interest in March 2027 96.25 and 97.00 #SOFR call options.
👉 spr.ly/6013BG5smP
Today's 2-Year auction will be the 30th held at the record $69B size level.
Despite the heavy, sustained supply over this stretch, demand has been fairly consistent. Across the prior 29 auctions, average bid-to-cover sits at 2.62, with a high of 2.81 and a low of 2.41.
Chart data sourced from CME Group's TreasuryWatch tool, powered by @QuikStrike1. spr.ly/6013BGdbXT
📉 Dealers build record net short in 10-Year (TY) futures.
Since Aug. 4, Dealers have added 235K contracts in new short positions, pushing net short to a record -719K.
Over the same period, leveraged funds trimmed net shorts and asset managers added to net longs.
Translate positioning data into actionable intel with our Commitment of Traders tool, powered by @QuikStrike1.
spr.ly/6010BGbNFK
#SOFR options added 942K contracts of new OI yesterday, the largest daily inflow since February.
📈 SR3Z6 (+300K) change by strike 👇
Visualize open interest patterns by expiration and strike with @QuikStrike1 analytics:
spr.ly/6016BGp0FO
Asset managers add to record short positions in #SOFR futures.
According to the latest CFTC data (9/8), SR3 short positions held by asset managers rose by 126K contracts last week, building upon the 136K added the week prior.
A look at the key events for USD rates in the week ahead:
Mon:
Tue:
Wed: #FOMC
Thu:
Fri: