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OI Points To Another Round Of Relatively Large Net Short Setting On Thursday

US TSY FUTURES
HomepageBond Market NewsBulletMarketsFixed Income Bullets

Yesterday’s PCE-driven sell off and preliminary OI data points to net short setting as the dominant positioning factor on the Tsy futures curve on Thursday.

  • Net shorts seemed to be added across most contracts, with some apparent light long cover in UXY futures providing the only meaningful exception.
  • That left a net DV01 equivalent of ~$7.5mn short exposure added across the curve. While a little shallower than the apparent net short setting seen on Wednesday, it still represents a fairly notable positioning move.
  • A reminder that the latest CFTC CoT continued to point to net short positioning across the futures curve, although some of those positions had been trimmed.
  • The CFTC CoT positioning report will be skewed by basis trades.
25-Apr-2424-Apr-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,112,9744,089,609+23,365+843,494
FV6,056,8116,002,163+54,648+2,234,782
TY4,535,0384,501,766+33,272+2,092,401
UXY2,052,9302,060,257-7,327-619,208
US1,575,3301,566,316+9,014+1,117,049
WN1,635,3951,626,036+9,359+1,770,397
Total+122,331+7,438,914
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Yesterday’s PCE-driven sell off and preliminary OI data points to net short setting as the dominant positioning factor on the Tsy futures curve on Thursday.

  • Net shorts seemed to be added across most contracts, with some apparent light long cover in UXY futures providing the only meaningful exception.
  • That left a net DV01 equivalent of ~$7.5mn short exposure added across the curve. While a little shallower than the apparent net short setting seen on Wednesday, it still represents a fairly notable positioning move.
  • A reminder that the latest CFTC CoT continued to point to net short positioning across the futures curve, although some of those positions had been trimmed.
  • The CFTC CoT positioning report will be skewed by basis trades.
25-Apr-2424-Apr-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,112,9744,089,609+23,365+843,494
FV6,056,8116,002,163+54,648+2,234,782
TY4,535,0384,501,766+33,272+2,092,401
UXY2,052,9302,060,257-7,327-619,208
US1,575,3301,566,316+9,014+1,117,049
WN1,635,3951,626,036+9,359+1,770,397
Total+122,331+7,438,914