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OI Points To Long Setting Bias On Tuesday

US TSY FUTURES
HomepageBond Market NewsBulletMarketsFixed Income Bullets

The combination of yesterday’s PMI-driven uptick in Tsy futures and OI data points to modest net long setting across most contracts, with the only exception coming via very modest net short cover in UXY futures.

  • A fair proportion of yesterday’s rally has already faded, with global impulses factoring in so far on Wednesday.
  • A reminder that all contracts were still subjected to net short positioning as of last Tuesday (per the CFTC CoT report), although that will be subject to some bias from basis trade positioning.
23-Apr-2422-Apr-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,054,2154,024,545+29,670+1,077,828
FV5,952,9365,944,979+7,957+326,710
TY4,482,7054,476,023+6,682+422,129
UXY2,057,6522,062,001-4,349-369,343
US1,548,6661,547,099+1,567+195,427
WN1,618,7011,615,088+3,613+689,192
Total+45,140+2,341,942
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The combination of yesterday’s PMI-driven uptick in Tsy futures and OI data points to modest net long setting across most contracts, with the only exception coming via very modest net short cover in UXY futures.

  • A fair proportion of yesterday’s rally has already faded, with global impulses factoring in so far on Wednesday.
  • A reminder that all contracts were still subjected to net short positioning as of last Tuesday (per the CFTC CoT report), although that will be subject to some bias from basis trade positioning.
23-Apr-2422-Apr-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,054,2154,024,545+29,670+1,077,828
FV5,952,9365,944,979+7,957+326,710
TY4,482,7054,476,023+6,682+422,129
UXY2,057,6522,062,001-4,349-369,343
US1,548,6661,547,099+1,567+195,427
WN1,618,7011,615,088+3,613+689,192
Total+45,140+2,341,942