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OI Points To Net Long Cover Across The Curve On Monday

US TSY FUTURES
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The combination of yesterday’s weakness in Tsy futures and preliminary OI data points to net long cover across the curve on Monday.

  • There was a relatively notable ~$7.2mn curve-wide reduction in net longs in DV01 equivalent terms, with the most notable positioning move coming in TY futures.
  • That comes after a general bias towards long setting in the latter part of last week, when softer-than-expected U.S. inflation data and French political unrest dominated.
  • A reminder that a modest reduction in worry surrounding the French political situation and a heavy day of $IG issuance provided much of the pressure on Monday.
17-Jun-2414-Jun-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,082,9104,086,108-3,198-122,782
FV6,206,5216,247,479-40,958-1,743,413
TY4,338,2584,382,970-44,712-2,903,904
UXY2,049,0252,058,322-9,297-836,012
US1,650,6951,655,044-4,349-577,379
WN1,675,0161,679,786-4,770-978,916
Total-107,284-7,162,406
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The combination of yesterday’s weakness in Tsy futures and preliminary OI data points to net long cover across the curve on Monday.

  • There was a relatively notable ~$7.2mn curve-wide reduction in net longs in DV01 equivalent terms, with the most notable positioning move coming in TY futures.
  • That comes after a general bias towards long setting in the latter part of last week, when softer-than-expected U.S. inflation data and French political unrest dominated.
  • A reminder that a modest reduction in worry surrounding the French political situation and a heavy day of $IG issuance provided much of the pressure on Monday.
17-Jun-2414-Jun-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,082,9104,086,108-3,198-122,782
FV6,206,5216,247,479-40,958-1,743,413
TY4,338,2584,382,970-44,712-2,903,904
UXY2,049,0252,058,322-9,297-836,012
US1,650,6951,655,044-4,349-577,379
WN1,675,0161,679,786-4,770-978,916
Total-107,284-7,162,406