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OI Points To Mix Of Long Cover & Short Setting In Wake Of NFPs

US TSY FUTURES
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The combination of Friday’s move lower in Tsy futures and preliminary OI data points to a mixture of net short setting (TU, FV & WN) and net long cover (TY, UXY & US), as the latest monthly labour market report triggered a hawkish repricing in FOMC-dated OIS and weighed on Tsy futures.

  • Long cover provided the dominant positioning factor in net curve DV01 equivalent terms.
  • Wednesday's FOMC decision & CPI readings present the next major risk events.
07-Jun-2406-Jun-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,906,7803,876,161+30,619+1,186,196
FV6,292,4926,272,545+19,947+847,395
TY4,349,7694,397,307-47,538-3,061,477
UXY2,025,5732,029,694-4,121-365,752
US1,646,7941,656,973-10,179-1,321,609
WN1,682,0991,675,860+6,239+1,235,163
Total-5,033-1,480,084
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The combination of Friday’s move lower in Tsy futures and preliminary OI data points to a mixture of net short setting (TU, FV & WN) and net long cover (TY, UXY & US), as the latest monthly labour market report triggered a hawkish repricing in FOMC-dated OIS and weighed on Tsy futures.

  • Long cover provided the dominant positioning factor in net curve DV01 equivalent terms.
  • Wednesday's FOMC decision & CPI readings present the next major risk events.
07-Jun-2406-Jun-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,906,7803,876,161+30,619+1,186,196
FV6,292,4926,272,545+19,947+847,395
TY4,349,7694,397,307-47,538-3,061,477
UXY2,025,5732,029,694-4,121-365,752
US1,646,7941,656,973-10,179-1,321,609
WN1,682,0991,675,860+6,239+1,235,163
Total-5,033-1,480,084