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OI Points To Net Short Setting Across The Curve On Monday

US TSY FUTURES

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
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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