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OI Suggests Long Setting Dominated On Monday

US TSY FUTURES
HomepageBond Market NewsBulletMarketsFixed Income Bullets

Yesterday's uptick in Tsy futures and preliminary OI data points to a mix of net long setting (FV, TY, US & WN) and net short cover (TU & UXY), with the former dominating in net curve terms.

  • The largest net long setting (in DV01 equivalent terms) seemed to come in WN futures.
  • A reminder that an uptick in the New York Fed's short-run inflation expectations metric helped trim the early rally, with subsequent block sales also factoring in.
  • Impending inflation data presents the immediate tier 1 risk events for Tsys, with futures positioning still skewed short across the curve (although there will be some influence from basis trade positions evident there).
  • It is also worth flagging that net shorts have pared back from recent extremes, presenting a little more two-way event risk than was evident ahead of the most recent NFP release.
  • Expect our full CPI preview to be published over the next couple of hours.
13-May-2410-May-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,050,5584,054,696-4,138-149,922
FV6,167,3876,153,007+14,380+588,424
TY4,387,2724,382,680+4,592+291,568
UXY2,148,2542,148,475-221-18,951
US1,603,5301,598,509+5,021+639,261
WN1,651,9351,642,670+9,265+1,818,112
Total+28,899+3,168,492
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Yesterday's uptick in Tsy futures and preliminary OI data points to a mix of net long setting (FV, TY, US & WN) and net short cover (TU & UXY), with the former dominating in net curve terms.

  • The largest net long setting (in DV01 equivalent terms) seemed to come in WN futures.
  • A reminder that an uptick in the New York Fed's short-run inflation expectations metric helped trim the early rally, with subsequent block sales also factoring in.
  • Impending inflation data presents the immediate tier 1 risk events for Tsys, with futures positioning still skewed short across the curve (although there will be some influence from basis trade positions evident there).
  • It is also worth flagging that net shorts have pared back from recent extremes, presenting a little more two-way event risk than was evident ahead of the most recent NFP release.
  • Expect our full CPI preview to be published over the next couple of hours.
13-May-2410-May-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,050,5584,054,696-4,138-149,922
FV6,167,3876,153,007+14,380+588,424
TY4,387,2724,382,680+4,592+291,568
UXY2,148,2542,148,475-221-18,951
US1,603,5301,598,509+5,021+639,261
WN1,651,9351,642,670+9,265+1,818,112
Total+28,899+3,168,492