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OI Reveals Mix Of Post-CPI Positioning Moves, Short Cover Most Prominent

US TSY FUTURES

Yesterday’s twist flattening of the Tsy futures curve and preliminary OI data points to a mix of net long cover (TU), short cover (FV, UXY, US & WN) & long setting (TY).

  • This allowed the recent dominant positioning mix of net long setting & short cover to extend further, with the latter being the most prominent in curve-wide terms.
  • A post-CPI reduction in market-implied odds of a 50bp cut at the Sep FOMC weighed on the front end, while a late NY morning block buyer in TY futures helped underpin the curve flattening theme.
14-Aug-2413-Aug-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,403,0534,420,722-17,669-651,177
FV6,722,8866,732,486-9,600-407,680
TY5,000,9414,958,362+42,579+2,786,116
UXY2,152,9462,165,002-12,056-1,115,513
US1,692,6981,696,893-4,195-581,354
WN1,643,5961,657,030-13,434-3,103,292
Total-14,375-3,072,901
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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