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OI Points To Notable Post-FOMC Long Setting Across Much Of Curve

US TSY FUTURES

The combination of yesterday’s rally in Tsy futures and preliminary open interest data points to meaningful net long setting in the wake of the FOMC decision, after Fed Chair Powell played down the likelihood of a rate hike and the Fed decided to go with a more aggressive QT taper than many expected.

  • An apparent round of net short cover in WN futures broke the broader theme, but the curve still saw a net 0I DV01 equivalent of over $12mn fresh longs added.
  • A reminder that net positioning is seen as short across all contracts, albeit with some skew from basis trade activity,
02-May-2401-May-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,156,4624,108,983+47,479+1,701,371
FV6,072,7356,005,138+67,597+2,770,041
TY4,439,5374,382,650+56,887+3,601,095
UXY2,117,6402,078,351+39,289+3,348,722
US1,585,4271,573,027+12,400+1,558,996
WN1,642,5821,646,893-4,311-828,615
Total+219,341+12,151,610
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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