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CORRECT: OI Suggests Modest Net Short Setting Seen On Friday

US TSY FUTURES

***Corrected as the previous bullet covered Friday's price action but Thursday's OI data***


The combination of Friday's general downtick in Tsy futures and preliminary OI data points to the following net positioning swings ahead of the weekend:

  • Short setting: FV, UXY & US futures.
  • Long cover: TY & WN futures.
  • It is hard to be sure when it comes to TU futures given the unchanged price status on the day come settlement.
  • Net positioning swings across the curve were seemingly titled to net short setting, although the apparent net long cover in TY futures provided the largest DV01 equivalent OI swing on the day.
19-Jan-2418-Jan-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,921,8863,912,520+9,366+353,888
FV5,909,8265,903,218+6,608+283,256
TY4,632,4754,649,058-16,583-1,062,075
UXY2,101,4812,092,692+8,789+801,858
US1,451,1331,444,560+6,573+887,067
WN1,673,5231,673,943-420-88,488
Total+14,333+1,175,507
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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