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OI Points To Sizeable Net Long Setting During Thursday's Rally

US TSY FUTURES

OI data points to sizeable net long setting across the futures curve during Thursday’s risk-off rally.

  • Over $16mn of net OI DV01 equivalent was added across the curve, with the largest positioning swing coming in FV futures.
  • The combination of the recent run of apparent long setting, outright yield levels and degree of imminent Fed easing priced suggests that a “hawkish” NFP report presents the greatest risk to prevailing market positioning.
  • Furthermore, our preview of today's NFP release notes that "hurricane impact adds asymmetrical risk to reaction in payrolls surprises: a 20-30k miss could easily be faded whilst a beat would be an outright positive surprise. Revisions will be particularly important."
01-Aug-2431-Jul-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,468,2354,392,100+76,135+2,837,117
FV6,687,1866,585,204+101,982+4,333,748
TY4,832,6604,791,080+41,580+2,710,726
UXY2,147,6572,123,816+23,841+2,190,960
US1,740,2041,722,076+18,128+2,483,506
WN1,656,5831,648,148+8,435+1,797,924
Total+270,101+16,353,983
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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