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OI Points To Long Cover Dominating During Monday's Sell Off

US TSY FUTURES
HomepageBond Market NewsBulletMarketsFixed Income Bullets

The combination of yesterday’s weakness in Tsy futures and preliminary OI data points to net long cover as the dominant positioning factor on Monday, as the impact of European political uncertainty and soft demand metrics at the latest 3-Year Tsy auction applied pressure.

  • Pockets of short setting were seen in TU & UXY futures, but the net long cover elsewhere comfortably outweighed those moves in net curve OI DV01 equivalent terms.
  • Today's 10-Year Tsy auction will come under additional scrutiny in the wake of the tepid demand at Monday's 3-Year offering, while wider macro focus is on tomorrow's CPI data & FOMC decision.
10-Jun-2407-Jun-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,944,7413,906,741+38,000+1,471,601
FV6,272,9606,291,117-18,157-772,139
TY4,316,4424,354,237-37,795-2,438,095
UXY2,026,1342,025,577+557+49,519
US1,637,0811,647,606-10,525-1,369,034
WN1,676,7551,682,064-5,309-1,053,300
Total-33,229-4,111,449
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The combination of yesterday’s weakness in Tsy futures and preliminary OI data points to net long cover as the dominant positioning factor on Monday, as the impact of European political uncertainty and soft demand metrics at the latest 3-Year Tsy auction applied pressure.

  • Pockets of short setting were seen in TU & UXY futures, but the net long cover elsewhere comfortably outweighed those moves in net curve OI DV01 equivalent terms.
  • Today's 10-Year Tsy auction will come under additional scrutiny in the wake of the tepid demand at Monday's 3-Year offering, while wider macro focus is on tomorrow's CPI data & FOMC decision.
10-Jun-2407-Jun-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,944,7413,906,741+38,000+1,471,601
FV6,272,9606,291,117-18,157-772,139
TY4,316,4424,354,237-37,795-2,438,095
UXY2,026,1342,025,577+557+49,519
US1,637,0811,647,606-10,525-1,369,034
WN1,676,7551,682,064-5,309-1,053,300
Total-33,229-4,111,449