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US TSY FUTURES: OI Data Points To Sizeable Flattener Flow On Wednesday

US TSY FUTURES
USGlobalCEEMEABulletUKMarketsFixed Income BulletsRegionNorth America

Preliminary OI data indicates huge positioning swings in Tsy futures during Wednesday’s twist flattening.

  • A reminder that some suggested that steepener deleveraging was the driving positioning force during yesterday’s move, but the OI data pushes back against that idea, pointing to flatteners being set.
  • TU, FV & TY futures were seemingly subjected to net short setting, while UXY, US & WN futures saw net long setting dominate.
  • The net short setting seen in TY futures is huge by all accounts, with just under $18mn of fresh net DV01 equivalent exposure added in the contract.

 

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Preliminary OI data indicates huge positioning swings in Tsy futures during Wednesday’s twist flattening.

  • A reminder that some suggested that steepener deleveraging was the driving positioning force during yesterday’s move, but the OI data pushes back against that idea, pointing to flatteners being set.
  • TU, FV & TY futures were seemingly subjected to net short setting, while UXY, US & WN futures saw net long setting dominate.
  • The net short setting seen in TY futures is huge by all accounts, with just under $18mn of fresh net DV01 equivalent exposure added in the contract.

 

Keep reading...Show less