OI Points To Short Setting & Long Cover On Tuesday

The mix of Tuesday's move lower across the Tsy futures curve and preliminary OI data points to the following positioning swings:

• Net short setting: TU, FV & UXY futures.
• Net long cover: TY, US & WN futures.
• The apparent short setting noted above outweighed the pockets of apparent long cover in net curve OI DV01 equivalent terms.
• The largest net OI DV01 equivalent swing in single contract terms was seen in FV futures.
• A reminder that yesterday's post-BoJ meeting press conference was a major factor when it came to pressuring the core global FI space. 2-Year Tsy auction results, an apparent dovish turn from ex-St. Louis Fed President Bullard and late NY block flow provided some counter to that move. Soft regional Fed actitvty metrics had little tangible impact.