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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-2412-Jul-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,354,5254,332,388+22,137+826,409
FV6,451,2086,430,429+20,779+881,760
TY4,512,5634,552,377-39,814-2,594,070
UXY2,091,5162,094,447-2,931-264,849
US1,674,3841,677,300-2,916-388,715
WN1,679,8131,677,770+2,043+419,760
Total-702-1,119,704
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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-2412-Jul-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,354,5254,332,388+22,137+826,409
FV6,451,2086,430,429+20,779+881,760
TY4,512,5634,552,377-39,814-2,594,070
UXY2,091,5162,094,447-2,931-264,849
US1,674,3841,677,300-2,916-388,715
WN1,679,8131,677,770+2,043+419,760
Total-702-1,119,704