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Little Movement In Net Curve OI On Tuesday, Event Risk Eyed

US TSY FUTURES
HomepageBond Market NewsBulletMarketsFixed Income Bullets

The combination of yesterday’s rally in Tsy futures and preliminary OI data points to a mix of net long setting in the wings (TU & WN) and net short cover elsewhere (FV, TY, UXY & US).

  • The net curve OI DV01 equivalent swing was very modest, with the aforementioned positioning movement effectively offsetting.
  • Strong demand at the latest 10-Year Tsy auction and political uncertainty in Europe provided the major drivers on Tuesday.
  • The proximity to today’s CPI release and FOMC decision likely limited positioning movement and risk taking appetite.
11-Jun-2410-Jun-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,982,4203,944,868+37,552+1,452,617
FV6,258,4296,275,533-17,104-728,034
TY4,307,2614,317,189-9,928-641,741
UXY2,020,5872,026,136-5,549-494,899
US1,632,8141,637,102-4,288-560,518
WN1,683,1941,676,787+6,407+1,281,626
Total+7,090+309,051
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The combination of yesterday’s rally in Tsy futures and preliminary OI data points to a mix of net long setting in the wings (TU & WN) and net short cover elsewhere (FV, TY, UXY & US).

  • The net curve OI DV01 equivalent swing was very modest, with the aforementioned positioning movement effectively offsetting.
  • Strong demand at the latest 10-Year Tsy auction and political uncertainty in Europe provided the major drivers on Tuesday.
  • The proximity to today’s CPI release and FOMC decision likely limited positioning movement and risk taking appetite.
11-Jun-2410-Jun-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,982,4203,944,868+37,552+1,452,617
FV6,258,4296,275,533-17,104-728,034
TY4,307,2614,317,189-9,928-641,741
UXY2,020,5872,026,136-5,549-494,899
US1,632,8141,637,102-4,288-560,518
WN1,683,1941,676,787+6,407+1,281,626
Total+7,090+309,051