May 02, 2024 10:06 GMT
OI Points To Modest Post-FOMC Net Positioning Swings
US TSY FUTURES
The combination of yesterday’s rally in Tsy futures and preliminary open interest data point to surprisingly modest positioning adjustments in the wake of yesterday’s FOMC.
- Long setting (in TU, UXY, US & WN) marginally outstripped short cover (in FV & TY) in net curve OI DV01 equivalent terms.
- Net positioning seems to remain short across all contracts.
01-May-24 | 30-Apr-24 | Daily OI Change | OI DV01 Equivalent Change ($) | |
TU | 4,107,147 | 4,099,332 | +7,815 | +280,843 |
FV | 6,000,234 | 6,006,174 | -5,940 | -243,242 |
TY | 4,383,541 | 4,406,583 | -23,042 | -1,455,227 |
UXY | 2,078,483 | 2,067,403 | +11,080 | +941,688 |
US | 1,573,135 | 1,571,853 | +1,282 | +160,628 |
WN | 1,646,898 | 1,639,493 | +7,405 | +1,416,157 |
Total | -1,400 | +1,100,847 |
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