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OI Points To Mix Of Short Cover & Long Setting During Friday's Rally

US TSY FUTURES
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The combination of Friday’s rally in Tsy futures and preliminary OI data points to a mix of net short cover and long setting ahead of the weekend, with the former dominating in net OI DV01 equivalent curve terms.

  • The apparent net long setting seen in TU and UXY futures was easily outweighed by the apparent net short cover seen elsewhere.
  • A reminder that CFTC CoT positioning metrics continue to point to net short positioning in Tsy futures across the curve (as of Tuesday June 11), albeit skewed by basis trade positions.
  • In terms of the drivers, the spill over from French political uncertainty dominated on Friday, underpinning Tsys. A very soft headline round of UoM sentiment readings also factored in.
14-Jun-2413-Jun-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,086,3594,007,980+78,379+3,021,673
FV6,246,9106,320,898-73,988-3,164,399
TY4,385,0604,423,335-38,275-2,499,569
UXY2,058,5952,053,967+4,628+418,794
US1,654,9281,660,974-6,046-809,320
WN1,679,9671,686,129-6,162-1,280,501
Total-41,464-4,313,323
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The combination of Friday’s rally in Tsy futures and preliminary OI data points to a mix of net short cover and long setting ahead of the weekend, with the former dominating in net OI DV01 equivalent curve terms.

  • The apparent net long setting seen in TU and UXY futures was easily outweighed by the apparent net short cover seen elsewhere.
  • A reminder that CFTC CoT positioning metrics continue to point to net short positioning in Tsy futures across the curve (as of Tuesday June 11), albeit skewed by basis trade positions.
  • In terms of the drivers, the spill over from French political uncertainty dominated on Friday, underpinning Tsys. A very soft headline round of UoM sentiment readings also factored in.
14-Jun-2413-Jun-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,086,3594,007,980+78,379+3,021,673
FV6,246,9106,320,898-73,988-3,164,399
TY4,385,0604,423,335-38,275-2,499,569
UXY2,058,5952,053,967+4,628+418,794
US1,654,9281,660,974-6,046-809,320
WN1,679,9671,686,129-6,162-1,280,501
Total-41,464-4,313,323