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CFTC CoT Points To Hedge funds Driving Net Short Setting Across Much Of Curve

US TSY FUTURES
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Friday’s CFTC CoT report pointed to non-commercial net short setting across most Tsy futures in the period up until 7 May.

  • This was despite the softer-than-expected labor market report and generally softer-than-expected economic activity readings, as inflation components within the latest survey data continued to promote stagflation-related discussions, limiting receiver-side moves in FOMC-dated OIS.
  • Only UXY futures saw their net short position trimmed, per the report.
  • Closer inspection of the data reveals that hedge funds drove the deepening of the broader net short positioning, although they trimmed net shorts in both TU & UXY futures.
  • Positioning remains net short across the curve (although some skew from basis trade positioning will be at play), with US futures the closest to net neutral positioning.
  • All net shorts are comfortably off of the 52-week extremes, in both outright and net % of open interest terms.

Source: MNI - Market News/Bloomberg/CFTC

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Friday’s CFTC CoT report pointed to non-commercial net short setting across most Tsy futures in the period up until 7 May.

  • This was despite the softer-than-expected labor market report and generally softer-than-expected economic activity readings, as inflation components within the latest survey data continued to promote stagflation-related discussions, limiting receiver-side moves in FOMC-dated OIS.
  • Only UXY futures saw their net short position trimmed, per the report.
  • Closer inspection of the data reveals that hedge funds drove the deepening of the broader net short positioning, although they trimmed net shorts in both TU & UXY futures.
  • Positioning remains net short across the curve (although some skew from basis trade positioning will be at play), with US futures the closest to net neutral positioning.
  • All net shorts are comfortably off of the 52-week extremes, in both outright and net % of open interest terms.

Source: MNI - Market News/Bloomberg/CFTC