July 10, 2024 10:20 GMT
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-24 | 08-Jul-24 | Daily OI Change | OI DV01 Equivalent Change ($) | |
TU | 4,306,183 | 4,291,317 | +14,866 | +566,706 |
FV | 6,354,401 | 6,367,065 | -12,664 | -535,102 |
TY | 4,497,750 | 4,486,285 | +11,465 | +741,844 |
UXY | 2,072,030 | 2,087,473 | -15,443 | -1,383,364 |
US | 1,665,203 | 1,678,320 | -13,117 | -1,727,629 |
WN | 1,661,107 | 1,663,107 | -2,000 | -404,531 |
Total | -16,893 | -2,742,077 |
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