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OI Shows Little Movement In Net Positioning On Friday

US TSY FUTURES
HomepageBond Market NewsBulletMarketsFixed Income Bullets

OI data suggests that net positioning movement was light on Friday, with a combination of modest long cover and short setting seen across Tsy futures contracts.

  • There was a light bias towards net short setting as firmer-than-expected flash PMI readings out of the U.S. ultimately outweighed softer-than-expected Eurozone equivalents.
  • Some of the faster money-type accounts may have been forced to cover intraday longs set in the wake of the Eurozone PMIs.
  • The first couple of days of last week saw a skew towards net long setting, before long cover moved to the fore on Thursday.
  • Tsy futures positioning seems to remain net short overall, albeit skewed by basis trade positioning.
  • The latest CFTC CoT report (covering the period through June 18) will be released later today, with last week’s holiday delaying the release, as is the norm.
21-Jun-2420-Jun-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,128,3854,111,669+16,716+638,387
FV6,203,0056,194,041+8,964+381,382
TY4,313,0844,324,111-11,027-716,791
UXY2,045,6382,035,746+9,892+891,487
US1,646,6911,646,761-70-9,328
WN1,669,3271,669,881-554-114,223
Total+23,921+1,070,914
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OI data suggests that net positioning movement was light on Friday, with a combination of modest long cover and short setting seen across Tsy futures contracts.

  • There was a light bias towards net short setting as firmer-than-expected flash PMI readings out of the U.S. ultimately outweighed softer-than-expected Eurozone equivalents.
  • Some of the faster money-type accounts may have been forced to cover intraday longs set in the wake of the Eurozone PMIs.
  • The first couple of days of last week saw a skew towards net long setting, before long cover moved to the fore on Thursday.
  • Tsy futures positioning seems to remain net short overall, albeit skewed by basis trade positioning.
  • The latest CFTC CoT report (covering the period through June 18) will be released later today, with last week’s holiday delaying the release, as is the norm.
21-Jun-2420-Jun-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,128,3854,111,669+16,716+638,387
FV6,203,0056,194,041+8,964+381,382
TY4,313,0844,324,111-11,027-716,791
UXY2,045,6382,035,746+9,892+891,487
US1,646,6911,646,761-70-9,328
WN1,669,3271,669,881-554-114,223
Total+23,921+1,070,914