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OI Points To Long Cover As Dominant Positioning Factor Since Tuesday’s Close

US TSY FUTURES
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The combination of yesterday’s weakness in Tsy futures and preliminary OI data points to a mix of net short setting and long cover across the curve since Tuesday’s close.

  • OI data suggests that long cover provided the more meaningful positioning factor in net curve terms, with only TU futures seeing (modest) net short setting.
  • Tsy yields respected their multi-week ranges, which, when coupled with some recent long setting in futures, helps explain some of the adjustment.
  • From a fundamental perspective, the uptick in the prices paid sub-component of the Philly Fed survey countered the impact of a downbeat round of economic data on Thursday.
  • An oil-driven uptick in breakevens and some widening in swap spreads (some pointed to set up for next week’s corporate supply) then applied further pressure.
20-Jun-2418-Jun-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,113,5124,105,482+8,030+308,299
FV6,194,0226,202,456-8,434-359,000
TY4,329,0454,345,297-16,252-1,055,516
UXY2,035,6282,049,060-13,432-1,207,843
US1,647,6271,656,842-9,215-1,223,396
WN1,669,9531,673,681-3,728-765,073
Total-43,031-4,302,530
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The combination of yesterday’s weakness in Tsy futures and preliminary OI data points to a mix of net short setting and long cover across the curve since Tuesday’s close.

  • OI data suggests that long cover provided the more meaningful positioning factor in net curve terms, with only TU futures seeing (modest) net short setting.
  • Tsy yields respected their multi-week ranges, which, when coupled with some recent long setting in futures, helps explain some of the adjustment.
  • From a fundamental perspective, the uptick in the prices paid sub-component of the Philly Fed survey countered the impact of a downbeat round of economic data on Thursday.
  • An oil-driven uptick in breakevens and some widening in swap spreads (some pointed to set up for next week’s corporate supply) then applied further pressure.
20-Jun-2418-Jun-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,113,5124,105,482+8,030+308,299
FV6,194,0226,202,456-8,434-359,000
TY4,329,0454,345,297-16,252-1,055,516
UXY2,035,6282,049,060-13,432-1,207,843
US1,647,6271,656,842-9,215-1,223,396
WN1,669,9531,673,681-3,728-765,073
Total-43,031-4,302,530