US TSY FUTURES: OI Points To Notable Post-FOMC Long Setting Across Much Of
Curve
The combination of yesterday's rally in Tsy futures and preliminary open
interest data points to meaningful net long setting in the wake of the FOMC
decision, after Fed Chair Powell played down the likelihood of a rate hike and
the Fed decided to go with a more aggressive QT taper than many expected.
* An apparent round of net short cover in WN futures broke the broader theme,
but the curve still saw a net 0I DV01 equivalent of over $12mn fresh longs
added.
* A reminder that net positioning is seen as short across all contracts, albeit
with some skew from basis trade activity,
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02-May-24 01-May-24 Daily OI Change OI DV01 Equivalent Change ($)
TU 4,156,462 4,108,983 +47,479 +1,701,371
FV 6,072,735 6,005,138 +67,597 +2,770,041
TY 4,439,537 4,382,650 +56,887 +3,601,095
UXY 2,117,640 2,078,351 +39,289 +3,348,722
US 1,585,427 1,573,027 +12,400 +1,558,996
WN 1,642,582 1,646,893 -4,311 -828,615
Total +219,341 +12,151,610