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OI Points To Mix Of Long Setting & Short Cover Following Retail Sales

US TSY FUTURES
HomepageBond Market NewsBulletMarketsFixed Income Bullets

The combination of yesterday’s rally in Tsy futures and preliminary OI data points to a mix of net long setting and short cover across the curve on Tuesday.

  • The only semi-meaningful rounds of net OI movement came in TU & US futures, as both seemed to be subjected to net long setting.
  • That left the net curve DV01 equivalent move biased in that direction.
  • Softer-than-expected retail sales data and a well-received 20-Year auction provided the major supportive factors on Tuesday, leaving benchmark yields just off the lows of their multi-week ranges.
18-Jun-2417-Jun-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,105,4824,076,329+29,153+1,121,033
FV6,202,4566,206,231-3,775-161,261
TY4,345,2974,345,912-615-39,728
UXY2,049,0602,048,932+128+11,586
US1,656,8421,647,113+9,729+1,305,714
WN1,673,6811,674,737-1,056-220,022
Total+33,564+2,017,321
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The combination of yesterday’s rally in Tsy futures and preliminary OI data points to a mix of net long setting and short cover across the curve on Tuesday.

  • The only semi-meaningful rounds of net OI movement came in TU & US futures, as both seemed to be subjected to net long setting.
  • That left the net curve DV01 equivalent move biased in that direction.
  • Softer-than-expected retail sales data and a well-received 20-Year auction provided the major supportive factors on Tuesday, leaving benchmark yields just off the lows of their multi-week ranges.
18-Jun-2417-Jun-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,105,4824,076,329+29,153+1,121,033
FV6,202,4566,206,231-3,775-161,261
TY4,345,2974,345,912-615-39,728
UXY2,049,0602,048,932+128+11,586
US1,656,8421,647,113+9,729+1,305,714
WN1,673,6811,674,737-1,056-220,022
Total+33,564+2,017,321