Free Trial

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

US TSY FUTURES

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
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.