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OI Points To Mix Of Short Setting & Long Cover On Friday

US TSY FUTURES
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The combination of Friday's weakness in Tsy futures and preliminary OI data points to a mix of net short setting (TU, FV, UXY & WN futures) and long cover (TY & US futures) with the latter having slightly more impact in net curve DV01 equivalent terms.

  • This came as markets continued to unwind Fed rate cut premium in a headline light session.
  • Comments from ECB's Schanbel provided some pressure during pre-NY trade.
  • A deeper overview of positioning in Tsy futures can be found in our weekly CFTC CoT round up.
17-May-2416-May-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,050,5834,039,343+11,240+394,966
FV6,251,0486,224,339+26,709+1,091,772
TY4,326,8694,370,493-43,624-2,774,396
UXY2,138,5212,137,517+1,004+86,443
US1,613,8381,621,419-7,581-973,988
WN1,677,0861,668,679+8,407+1,671,931
Total-3,845-503,272
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The combination of Friday's weakness in Tsy futures and preliminary OI data points to a mix of net short setting (TU, FV, UXY & WN futures) and long cover (TY & US futures) with the latter having slightly more impact in net curve DV01 equivalent terms.

  • This came as markets continued to unwind Fed rate cut premium in a headline light session.
  • Comments from ECB's Schanbel provided some pressure during pre-NY trade.
  • A deeper overview of positioning in Tsy futures can be found in our weekly CFTC CoT round up.
17-May-2416-May-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,050,5834,039,343+11,240+394,966
FV6,251,0486,224,339+26,709+1,091,772
TY4,326,8694,370,493-43,624-2,774,396
UXY2,138,5212,137,517+1,004+86,443
US1,613,8381,621,419-7,581-973,988
WN1,677,0861,668,679+8,407+1,671,931
Total-3,845-503,272