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OI Points To Mix Of Positioning Swings, Long Cover Dominated In Curve Terms On Thurs

US TSY FUTURES

The combination of yesterday’s twist steepening in Tsy futures and preliminary OI data points to the following net positioning swings on Thursday.

  • Net long setting: TU futures
  • Net long cover: FV, TY, UXY & US futures
  • Net short setting: WN futures
  • The apparent net long cover seen in FV through US futures dominated in net OI DV01 equivalent terms.
  • Positioning remains net short across all futures contracts (although some of that will be attributable to basis trades).
  • Softer-than-expected PPI data failed to have a lasting impact, with little in the way of notable adjustments to PCE projections post-data.
11-Apr-2410-Apr-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,940,8133,928,836+11,977+441,415
FV6,092,2746,095,367-3,093-128,129
TY4,417,3364,447,072-29,736-1,895,140
UXY2,053,9392,071,120-17,181-1,475,773
US1,536,2311,543,757-7,526-953,794
WN1,614,5761,609,912+4,664+914,103
Total-40,895-3,097,317
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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