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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-2430-Apr-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,107,1474,099,332+7,815+280,843
FV6,000,2346,006,174-5,940-243,242
TY4,383,5414,406,583-23,042-1,455,227
UXY2,078,4832,067,403+11,080+941,688
US1,573,1351,571,853+1,282+160,628
WN1,646,8981,639,493+7,405+1,416,157
Total-1,400+1,100,847
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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