Free Trial

Long Setting The Apparent Dominant Positioning Factor On Monday

US TSY FUTURES

The combination of yesterday’s richening and preliminary open interest data point to the following position swings on Monday:

  • Apparent long setting in TU through UXY futures, with the most pronounced DV01 equivalent move coming in FV futures.
  • Apparent short cover in US & WN futures.
  • The cumulative DV01 impact of the apparent long setting in TU through UXY futures outweighed the DV01 impact of the apparent short cover in US & WN futures, although the OI DV01 equivalent net swing across the curve was a relatively contained ~$1.9mn.
09-Oct-2306-Oct-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,990,8953,989,749+1,146+43,224
FV5,729,7905,691,708+38,082+1,589,459
TY4,757,3294,748,354+8,975+570,243
UXY1,905,1741,902,401+2,773+245,157
US1,398,2711,402,608-4,337-565,800
WN1,553,8131,553,887-74-13,742
Total+46,565+1,868,541
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.