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US TSY FUTURES: OI Points To Mix Of Long Cover & Short Setting On Monday

US TSY FUTURES
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

Yesterday’s move lower in Tsy futures and preliminary OI data points to a mix of long cover and short setting.

  • Long cover was slightly more prominent in curve-wide DV01 equivalent terms, although that was solely driven by TY futures, with offsetting net positioning swings seen across the remainder of the curve.
  • Fed Chair Powell’s late NY comments weighed, before month-end extension flow pulled contracts away from session lows.
  • Signs of quarter-end repo tension seemed to generate contained vol. in Tsys during early NY trade.

 

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Yesterday’s move lower in Tsy futures and preliminary OI data points to a mix of long cover and short setting.

  • Long cover was slightly more prominent in curve-wide DV01 equivalent terms, although that was solely driven by TY futures, with offsetting net positioning swings seen across the remainder of the curve.
  • Fed Chair Powell’s late NY comments weighed, before month-end extension flow pulled contracts away from session lows.
  • Signs of quarter-end repo tension seemed to generate contained vol. in Tsys during early NY trade.

 

Keep reading...Show less