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OI Suggests Long Setting Dominated Post-CPI

US TSY FUTURES
HomepageBond Market NewsBulletMarketsFixed Income News

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 ~$8.5mn OI DV01 equivalent added).
  • TU futures provided the exception to the broader rule, with modest short cover seemingly seen there in net terms.
14-Nov-2313-Nov-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,136,4834,142,875-6,392-230,276
FV5,957,3095,938,271+19,038+784,674
TY4,686,2684,579,736+106,532+6,774,457
UXY2,034,3812,027,572+6,809+607,711
US1,337,8181,336,892+926+118,920
WN1,576,5171,574,249+2,268+437,792
Total+129,181+8,493,277
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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 ~$8.5mn OI DV01 equivalent added).
  • TU futures provided the exception to the broader rule, with modest short cover seemingly seen there in net terms.
14-Nov-2313-Nov-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,136,4834,142,875-6,392-230,276
FV5,957,3095,938,271+19,038+784,674
TY4,686,2684,579,736+106,532+6,774,457
UXY2,034,3812,027,572+6,809+607,711
US1,337,8181,336,892+926+118,920
WN1,576,5171,574,249+2,268+437,792
Total+129,181+8,493,277