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OI Suggests Net Short Setting Dominated Into Weekend, Despite Soft Unrounded PCE

US TSY FUTURES
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The combination of Friday’s move lower in Tsy futures and preliminary OI data points to meaningful net short setting in most contracts, with net long cover in TY futures providing the only exception.

  • Some pointed to increased odds of a second Trump Presidency as a driver, as the rally that came in the wake of the slightly softer-than-expected round of unrounded core PCE data was pared.
  • An FV/WN block steepener also helped the move.
  • Volumes then picked up into the close as the weakness extended, with below average month-end extension flow failing to provide a meaningful counter.
28-Jun-2427-Jun-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,227,4744,157,471+70,003+2,691,449
FV6,241,1226,213,326+27,796+1,171,990
TY4,333,4004,351,566-18,166-1,155,185
UXY2,080,5162,063,119+17,397+1,543,201
US1,665,6081,649,154+16,454+2,133,349
WN1,674,9321,664,273+10,659+2,109,756
Total+124,143+8,494,559
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The combination of Friday’s move lower in Tsy futures and preliminary OI data points to meaningful net short setting in most contracts, with net long cover in TY futures providing the only exception.

  • Some pointed to increased odds of a second Trump Presidency as a driver, as the rally that came in the wake of the slightly softer-than-expected round of unrounded core PCE data was pared.
  • An FV/WN block steepener also helped the move.
  • Volumes then picked up into the close as the weakness extended, with below average month-end extension flow failing to provide a meaningful counter.
28-Jun-2427-Jun-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,227,4744,157,471+70,003+2,691,449
FV6,241,1226,213,326+27,796+1,171,990
TY4,333,4004,351,566-18,166-1,155,185
UXY2,080,5162,063,119+17,397+1,543,201
US1,665,6081,649,154+16,454+2,133,349
WN1,674,9321,664,273+10,659+2,109,756
Total+124,143+8,494,559