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OI Suggests Net Long Setting Dominated Following NFP

US TSY FUTURES

Friday’s OI data points to net long setting dominating as a soft labour market report drove a meaningful round of dovish Fed repricing and fuelled speculation of a potential intra-meeting rate cut as markets put greater weight behind the idea of a Fed policy error.

  • A little over $13mn of net OI DV01 equivalent was added across the curve, as the recent positioning theme extended further.
  • TU seemed to provide the only exception, seeing modest net short cover on the day.
02-Aug-2401-Aug-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,455,3844,466,296-10,912-409,162
FV6,728,8746,687,044+41,830+1,797,969
TY4,896,5924,826,875+69,717+4,612,734
UXY2,147,4972,147,268+229+21,410
US1,753,6081,740,149+13,459+1,890,111
WN1,681,6351,656,636+24,999+5,533,427
Total+139,322+13,446,489
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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