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OI Suggests Net Long Setting Dominated On Wednesday As CPI Outweighed FOMC

US TSY FUTURES
Bond Market NewsHomepagemarkets-real-timeBulletMarketsFixed Income Bullets

The combination of yesterday’s rally in Tsys and preliminary OI data points to a mix of net long setting and short cover across the curve, as the impact of the softer-than-expected CPI data outweighed the reaction to the hawkish adjustments in the Fed’s updated dot plot.

  • Net long setting was most prominent in TY futures, while only WN futures seemed to be subjected to net short cover.
  • That left over $8mn of net OI DV01 equivalent added across the curve on Wednesday.
  • Ahead of the risk events we noted that a net dovish outcome probably provided the greatest risk to markets, with positioning in futures biased short (albeit skewed by basis trades) and relatively neutral cash positioning levels observed (based on the J.P.Morgan client survey). Perceptions in the wake of the ISM services survey and NFP report also factored into our opinion.
12-Jun-2411-Jun-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,013,4653,982,374+31,091+1,203,334
FV6,266,8266,258,417+8,409+359,315
TY4,378,1864,306,659+71,527+4,652,108
UXY2,037,9592,019,686+18,273+1,642,679
US1,644,2391,632,761+11,478+1,517,379
WN1,678,1361,683,194-5,058-1,026,424
Total+135,720+8,348,391
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The combination of yesterday’s rally in Tsys and preliminary OI data points to a mix of net long setting and short cover across the curve, as the impact of the softer-than-expected CPI data outweighed the reaction to the hawkish adjustments in the Fed’s updated dot plot.

  • Net long setting was most prominent in TY futures, while only WN futures seemed to be subjected to net short cover.
  • That left over $8mn of net OI DV01 equivalent added across the curve on Wednesday.
  • Ahead of the risk events we noted that a net dovish outcome probably provided the greatest risk to markets, with positioning in futures biased short (albeit skewed by basis trades) and relatively neutral cash positioning levels observed (based on the J.P.Morgan client survey). Perceptions in the wake of the ISM services survey and NFP report also factored into our opinion.
12-Jun-2411-Jun-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,013,4653,982,374+31,091+1,203,334
FV6,266,8266,258,417+8,409+359,315
TY4,378,1864,306,659+71,527+4,652,108
UXY2,037,9592,019,686+18,273+1,642,679
US1,644,2391,632,761+11,478+1,517,379
WN1,678,1361,683,194-5,058-1,026,424
Total+135,720+8,348,391