Free Trial

Supercore CPI & 30-YEar Supply Reception Result In Mixed Positioning Swings On Tues

US TSY FUTURES

The combination of yesterday’s twist flattening of the Tsy futures curve (a product of an uptick in supercore CPI and 30-Year Tsy supply seeing firmer demand than many feared) pointed to the following net positioning swings:

  • Long cover: TU futures.
  • Long setting: FV, TY & US futures
  • Short cover: UXY and WN futures.
  • The apparent rounds of long setting provided the most meaningful impulse on a net DV01-adjusted positioning basis, with the apparent net long setting in TY futures providing the most significant swing in individual contract terms.
12-Dec-2311-Dec-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,955,4993,988,353-32,854-1,273,509
FV5,747,7865,721,414+26,372+1,145,202
TY4,476,3284,436,676+39,652+2,552,001
UXY1,981,7651,982,609-844-77,092
US1,307,7391,299,904+7,835+1,051,887
WN1,577,8521,581,019-3,167-672,601
Total+36,994+2,725,889
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.