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

US TSY FUTURES
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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
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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