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OI Data Points To Meaningful Long Setting On Thursday

US TSY FUTURES
HomepageBond Market NewsBulletMarketsFixed Income Bullets

The combination of yesterday’s rally (driven by softer-than-expected PPI data, a well received 30-Year Tsy auction and heightened political uncertainty surrounding France) and preliminary OI data, points to net long setting across the curve on Thursday.

  • A little over $10mn of net DV01 adjusted OI exposure was added across the curve on the day, with the most pronounced net long setting coming in TY futures. Adjustments across the remainder of the curve were relatively sizeable as well, outside of a small movement in net positioning in TU futures.
  • A reminder that Tsy futures positioning screened as net short across the board in last week’s CFTC CoT (albeit with likely skew from basis trade positions noted), with this week’s inflation data outcomes and the French political situation allowing bonds to recover from last Friday’s post-NFP sell off.
13-Jun-2412-Jun-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,008,7974,007,871+926+35,775
FV6,321,8006,264,833+56,967+2,440,886
TY4,419,5344,377,465+42,069+2,724,228
UXY2,053,9972,037,648+16,349+1,482,567
US1,662,3941,646,308+16,086+2,159,673
WN1,686,1341,678,067+8,067+1,679,252
Total+140,464+10,522,381
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The combination of yesterday’s rally (driven by softer-than-expected PPI data, a well received 30-Year Tsy auction and heightened political uncertainty surrounding France) and preliminary OI data, points to net long setting across the curve on Thursday.

  • A little over $10mn of net DV01 adjusted OI exposure was added across the curve on the day, with the most pronounced net long setting coming in TY futures. Adjustments across the remainder of the curve were relatively sizeable as well, outside of a small movement in net positioning in TU futures.
  • A reminder that Tsy futures positioning screened as net short across the board in last week’s CFTC CoT (albeit with likely skew from basis trade positions noted), with this week’s inflation data outcomes and the French political situation allowing bonds to recover from last Friday’s post-NFP sell off.
13-Jun-2412-Jun-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,008,7974,007,871+926+35,775
FV6,321,8006,264,833+56,967+2,440,886
TY4,419,5344,377,465+42,069+2,724,228
UXY2,053,9972,037,648+16,349+1,482,567
US1,662,3941,646,308+16,086+2,159,673
WN1,686,1341,678,067+8,067+1,679,252
Total+140,464+10,522,381