November 15, 2023 10:50 GMT
OI Suggests Long Setting Dominated Post-CPI
US TSY FUTURES
The combination of yesterday’s CPI-induced rally across the Tsy futures curve and preliminary open interest data points to long setting as the dominant factor from a positioning perspective on Tuesday.
- TY futures accounted for the bulk of net DV01 adjusted long setting across the curve (~$6.8mn of the cumulative ~$8.5mn OI DV01 equivalent added).
- TU futures provided the exception to the broader rule, with modest short cover seemingly seen there in net terms.
|14-Nov-23||13-Nov-23||Daily OI Change||OI DV01 Equivalent Change ($)|