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OI Points To Little Movement In Positioning Ahead Of CPI

US TSY FUTURES
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Yesterday’s twist flattening of the Tsy futures curve and preliminary OI data points to a mix of net long cover, long setting and short cover.

  • Overall, positioning adjustments were relatively modest, with the largest DV01 equivalent swing coming via net long setting in WN futures.
  • We still believe that a ‘hawkish’ CPI surprise presents the greatest risk to prevailing market positioning, raising the bar for dovish market interpretation of today’s data.
10-Jul-2409-Jul-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,287,2724,307,196-19,924-758,495
FV6,366,6036,356,117+10,486+442,825
TY4,499,3554,500,287-932-60,307
UXY2,069,3982,072,622-3,224-288,896
US1,668,1431,670,426-2,283-300,400
WN1,668,1801,662,491+5,689+1,153,350
Total-10,188+188,076
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Yesterday’s twist flattening of the Tsy futures curve and preliminary OI data points to a mix of net long cover, long setting and short cover.

  • Overall, positioning adjustments were relatively modest, with the largest DV01 equivalent swing coming via net long setting in WN futures.
  • We still believe that a ‘hawkish’ CPI surprise presents the greatest risk to prevailing market positioning, raising the bar for dovish market interpretation of today’s data.
10-Jul-2409-Jul-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,287,2724,307,196-19,924-758,495
FV6,366,6036,356,117+10,486+442,825
TY4,499,3554,500,287-932-60,307
UXY2,069,3982,072,622-3,224-288,896
US1,668,1431,670,426-2,283-300,400
WN1,668,1801,662,491+5,689+1,153,350
Total-10,188+188,076