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OI Points To Net Short Setting Across The Curve On Monday

US TSY FUTURES
HomepageBond Market NewsBulletMarketsFixed Income Bullets

The combination of yesterday’s weakness in Tsy futures and preliminary OI data points to a second consecutive day of relatively aggressive net short setting (in net curve terms).

  • Net short setting was seen in all contracts, with the most pronounced positioning movement coming in TY and US futures (in DV01 equivalent terms).
  • The outcome of the first round of the French election and the potential of a second Presidential term for President Trump seemed to drive the weakness.
  • These matters outweighed the impact of the ISM manufacturing survey and a couple of block buys (FV & TY) seen in the NY afternoon.
  • Implied rates vol. moved higher alongside the sell off.
01-Jul-2428-Jun-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,243,6654,225,200+18,465+709,935
FV6,263,6996,242,627+21,072+888,479
TY4,373,1414,326,890+46,251+2,941,124
UXY2,085,3082,080,364+4,944+438,557
US1,679,7961,665,989+13,807+1,790,151
WN1,675,7011,674,728+973+192,588
Total+105,512+6,960,835
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The combination of yesterday’s weakness in Tsy futures and preliminary OI data points to a second consecutive day of relatively aggressive net short setting (in net curve terms).

  • Net short setting was seen in all contracts, with the most pronounced positioning movement coming in TY and US futures (in DV01 equivalent terms).
  • The outcome of the first round of the French election and the potential of a second Presidential term for President Trump seemed to drive the weakness.
  • These matters outweighed the impact of the ISM manufacturing survey and a couple of block buys (FV & TY) seen in the NY afternoon.
  • Implied rates vol. moved higher alongside the sell off.
01-Jul-2428-Jun-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,243,6654,225,200+18,465+709,935
FV6,263,6996,242,627+21,072+888,479
TY4,373,1414,326,890+46,251+2,941,124
UXY2,085,3082,080,364+4,944+438,557
US1,679,7961,665,989+13,807+1,790,151
WN1,675,7011,674,728+973+192,588
Total+105,512+6,960,835