Free Trial

OI Points To Net Long Setting Across Most Of The Curve On Thursday

US TSY FUTURES

The combination of yesterday’s rally in Tsy futures and preliminary OI data points to net long setting across most of the curve, with only an apparent round of modest short cover in WN futures breaking the broader trend.

  • That left the net curve DV01 OI equivalent move tilted comfortably towards net long setting.
  • FV futures saw the largest net positioning swing.
  • A reminder that Tsy futures retain their net short positioning bias, although there will be some skew from basis trade positioning, with the latest J.P.Morgan Tsy client surveys pointing to net long positioning in cash markets.
  • The dovish BoE outcome, push higher in weekly initial jobless claims and a well-received round of 30-Year Tsy supply all factored into yesterday’s rally.
09-May-2408-May-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,081,4264,062,828+18,598+675,994
FV6,125,5606,069,226+56,334+2,310,160
TY4,391,8494,376,121+15,728+644,978
UXY2,154,0002,145,068+8,932+767,875
US1,603,5581,595,496+8,062+1,030,948
WN1,637,9931,641,132-3,139-619,030
Total+104,515+4,810,926
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.