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OI Points To Net Shorts Being Added Across The Curve On Friday

US TSY FUTURES

The combination of Friday’s Tsy sell off in the wake of the NFP release and preliminary open interest data points to net short setting across all major Tsy futures ahead of the weekend.

  • Comments from the hawkish wing of the Fed were also seen post-data.
  • Still, the net positioning swings were relatively contained.
  • Potential ‘explainers’ for the limited positioning swings include already net short (albeit not stretched) positioning across the curve, as flagged in our latest CFTC CoT update and the proximity to Wednesday’s CPI release.
  • Geopolitical worry may have presented another limit to the short setting.
  • Note that the sell off has extended further today, as the reassessment of the short-term Fed policy path continues and after the weekend failed to provide a meaningful escalation in geopolitical tension.
05-Apr-2404-Apr-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,851,4943,846,648+4,846+180,624
FV6,109,7046,092,363+17,341+726,056
TY4,368,4214,346,936+21,485+1,384,062
UXY2,034,5052,033,933+572+49,634
US1,527,8491,523,195+4,654+596,247
WN1,600,8821,597,579+3,303+654,708
Total+52,201+3,591,329
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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