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OI Points To Mix Of Net Short Cover & Long Setting Following PPI

US TSY FUTURES
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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 in the wake of the PPI data.

  • The two-way nature of the the immediate price action that followed the PPI release and proximity to today’s CPI data likely limited the size of the net positioning swings.
  • Net long setting in FV futures essentially accounted for all of the net curve positioning movement (in DV01 equivalent terms), with the modest net long setting (TY, US & WN) and short cover (TU & UXY) seen elsewhere effectively offsetting.
  • A reminder that the initial hawkish reaction to yesterday’s firmer-than-expected headline PPI readings was more than countered by the largely negative revisions in the same dataset and less worrying feedthrough into PCE.
  • We will cover Tsy market positioning in a little more detail ahead of today’s CPI release.
14-May-2413-May-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,031,6504,050,479-18,829-681,827
FV6,201,1246,166,653+34,471+1,413,120
TY4,396,2564,386,338+9,918+631,737
UXY2,143,6342,150,151-6,517-561,323
US1,603,9891,603,856+133+17,061
WN1,655,2981,651,955+3,343+662,938
Total+22,519+1,481,707
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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 in the wake of the PPI data.

  • The two-way nature of the the immediate price action that followed the PPI release and proximity to today’s CPI data likely limited the size of the net positioning swings.
  • Net long setting in FV futures essentially accounted for all of the net curve positioning movement (in DV01 equivalent terms), with the modest net long setting (TY, US & WN) and short cover (TU & UXY) seen elsewhere effectively offsetting.
  • A reminder that the initial hawkish reaction to yesterday’s firmer-than-expected headline PPI readings was more than countered by the largely negative revisions in the same dataset and less worrying feedthrough into PCE.
  • We will cover Tsy market positioning in a little more detail ahead of today’s CPI release.
14-May-2413-May-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,031,6504,050,479-18,829-681,827
FV6,201,1246,166,653+34,471+1,413,120
TY4,396,2564,386,338+9,918+631,737
UXY2,143,6342,150,151-6,517-561,323
US1,603,9891,603,856+133+17,061
WN1,655,2981,651,955+3,343+662,938
Total+22,519+1,481,707