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OI Points To Mix Of Net Short Cover & Long Setting Following PPI
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-24 | 13-May-24 | Daily OI Change | OI DV01 Equivalent Change ($) | |
TU | 4,031,650 | 4,050,479 | -18,829 | -681,827 |
FV | 6,201,124 | 6,166,653 | +34,471 | +1,413,120 |
TY | 4,396,256 | 4,386,338 | +9,918 | +631,737 |
UXY | 2,143,634 | 2,150,151 | -6,517 | -561,323 |
US | 1,603,989 | 1,603,856 | +133 | +17,061 |
WN | 1,655,298 | 1,651,955 | +3,343 | +662,938 |
Total | +22,519 | +1,481,707 |
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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.