July 16, 2024 10:25 GMT
OI Points To Mix Of Positioning Swings During Monday’s Twist Steepening
US TSY FUTURES
The combination of yesterday’s twist steepening on the Tsy futures curve and preliminary OI data points to a mix of net long setting (TU), short setting (FV & WN) and long cover (TY, UXY & US).
- The “Trump trade” promoted bear steepening early on Monday, as odds of a second term for the former President surged following the failed assassination attempt.
- Goldman Sachs then flagged the possibility of a July Fed cut, which supported the front of the curve.
- FV/WN steepener block flow was seen on the day.
15-Jul-24 | 12-Jul-24 | Daily OI Change | OI DV01 Equivalent Change ($) | |
TU | 4,354,525 | 4,332,388 | +22,137 | +826,409 |
FV | 6,451,208 | 6,430,429 | +20,779 | +881,760 |
TY | 4,512,563 | 4,552,377 | -39,814 | -2,594,070 |
UXY | 2,091,516 | 2,094,447 | -2,931 | -264,849 |
US | 1,674,384 | 1,677,300 | -2,916 | -388,715 |
WN | 1,679,813 | 1,677,770 | +2,043 | +419,760 |
Total | -702 | -1,119,704 |
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