Record Treasury Short Unwinds – Slightly

Record Treasury Short Unwinds – Slightly

One of the stories that captured the attention of the entire macro universe this month was the record net Treasury short which, at one point, was a 4-sigma event. Especially interesting was positioning in 5Y futs, where specs and real money are taking opposite sides of the trade. (Deutsche, CFTC) "Someone's going to get hurt," as RBC put it last week. As a reminder, the gap between hedge funds' net short position and their historical average net long/short position expressed in terms of s
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