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OI Points To Short Setting & Long Cover Mix On Thurs As Yields Pared CPI-Driven Fall

US TSY FUTURES
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The combination of yesterday's move lower in Tsy futures and preliminary OI data points to a mix of net short setting (TU, UXY & US) and long cover (FV, TY & WN), with the latter dominating in net curve terms.

  • Firmer-than-expected import price data weighed on Tsys on Thursday, with yields unwinding much of the move that came in the wake of the CPI print.
  • Higher-for-longer Fedspeak also factored in.
  • Still, net OI swings remained fairly contained, as has been the case for much of the week.
  • Our best guess is that futures positioning still screens short across the curve, albeit influenced by basis trade.
16-May-2415-May-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,038,9914,035,283+3,708+130,576
FV6,223,7676,252,609-28,842-1,181,385
TY4,373,0304,393,428-20,398-1,300,829
UXY2,137,6042,128,345+9,259+799,583
US1,621,4831,617,908+3,575+461,522
WN1,668,6791,672,722-4,043-809,866
Total-36,741-1,900,399
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The combination of yesterday's move lower in Tsy futures and preliminary OI data points to a mix of net short setting (TU, UXY & US) and long cover (FV, TY & WN), with the latter dominating in net curve terms.

  • Firmer-than-expected import price data weighed on Tsys on Thursday, with yields unwinding much of the move that came in the wake of the CPI print.
  • Higher-for-longer Fedspeak also factored in.
  • Still, net OI swings remained fairly contained, as has been the case for much of the week.
  • Our best guess is that futures positioning still screens short across the curve, albeit influenced by basis trade.
16-May-2415-May-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,038,9914,035,283+3,708+130,576
FV6,223,7676,252,609-28,842-1,181,385
TY4,373,0304,393,428-20,398-1,300,829
UXY2,137,6042,128,345+9,259+799,583
US1,621,4831,617,908+3,575+461,522
WN1,668,6791,672,722-4,043-809,866
Total-36,741-1,900,399