Free Trial

OI Data Points To Aggressive Net Long Setting Following CPI

US TSY FUTURES

Preliminary OI data and yesterday’s post-CPI rally in Tsy futures points to aggressive net long setting, with TY futures alone seeing over $5mn of net DV01 equivalent OI added.

  • While the risks to existing market positioning definitely lay with a ‘hawkish’ CPI print, the reaction to the much-softer-than-expected data reveals plenty of space to add longs if fundamentals permit.
  • Soft demand metrics and pricing at the latest 30-Year Tsy auction facilitated further bull steepening of the curve later in the day, although didn’t prevent the addition of fresh net longs in WN futures.
11-Jul-2410-Jul-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,300,9134,289,022+11,891+452,042
FV6,397,5006,369,491+28,009+1,185,584
TY4,583,3564,504,170+79,186+5,140,758
UXY2,075,7892,071,940+3,849+346,343
US1,669,7411,669,539+202+26,766
WN1,678,6391,668,774+9,865+2,014,661
Total+133,002+9,166,153
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.