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

US TSY FUTURES

Yesterday’s weakness in Tsy futures and preliminary OI data points to a mix of net short setting (TU & TY) and long cover (FV, UXY, US & WN), with the latter more dominant in net curve terms.

  • We still believe that a ‘hawkish’ CPI surprise presents the greatest risk to prevailing market positioning, raising the bar for dovish market interpretation of tomorrow’s data.
09-Jul-2408-Jul-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,306,1834,291,317+14,866+566,706
FV6,354,4016,367,065-12,664-535,102
TY4,497,7504,486,285+11,465+741,844
UXY2,072,0302,087,473-15,443-1,383,364
US1,665,2031,678,320-13,117-1,727,629
WN1,661,1071,663,107-2,000-404,531
Total-16,893-2,742,077
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Yesterday’s weakness in Tsy futures and preliminary OI data points to a mix of net short setting (TU & TY) and long cover (FV, UXY, US & WN), with the latter more dominant in net curve terms.

  • We still believe that a ‘hawkish’ CPI surprise presents the greatest risk to prevailing market positioning, raising the bar for dovish market interpretation of tomorrow’s data.
09-Jul-2408-Jul-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,306,1834,291,317+14,866+566,706
FV6,354,4016,367,065-12,664-535,102
TY4,497,7504,486,285+11,465+741,844
UXY2,072,0302,087,473-15,443-1,383,364
US1,665,2031,678,320-13,117-1,727,629
WN1,661,1071,663,107-2,000-404,531
Total-16,893-2,742,077