May 01, 2024 09:57 GMT
OI Points To Limited Positioning Moves On Tuesday
US TSY FUTURES
Yesterday’s sell off in Tsy futures and preliminary open interest data points to a mix of net short setting (TU, FV, UXY, US & WN) and net long cover (TY), although the moves largely offset, leaving net curve OI little changed on the day.
- A reminder that Tsys were pressured by the latest ‘hawkish’ data input as the Q1 ECI reading printed above expectations.
- We will provide further colour on broader Tsy market positioning ahead of today's FOMC decision.
30-Apr-24 | 29-Apr-24 | Daily OI Change | OI DV01 Equivalent Change ($) | |
TU | 4,100,466 | 4,086,318 | +14,148 | +508,099 |
FV | 6,007,962 | 5,998,771 | +9,191 | +374,834 |
TY | 4,409,413 | 4,451,536 | -42,123 | -2,644,328 |
UXY | 2,067,723 | 2,067,493 | +230 | +19,405 |
US | 1,571,859 | 1,558,590 | +13,269 | +1,645,068 |
WN | 1,639,413 | 1,634,091 | +5,322 | +1,004,992 |
Total | +37 | +908,069 |
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