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OI Points To Net Long Cover Across The Curve On Monday

US TSY FUTURES

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
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
HomepageBond Market NewsBulletMarketsFixed Income Bullets
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
HomepageBond Market NewsBulletMarketsFixed Income Bullets

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