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OI Data Suggests Long Cover Dominated During Yesterday's Sell Off

US TSY FUTURES

OI data suggests that long cover dominated during yesterday’s post-data sell off.

  • The only exception to the broader theme came via very modest net short setting in UXY futures.
  • The most notable DV01 equivalent positioning swing came in WN futures.
  • We had warned that notable long positioning presented a clear risk to the recent rally in the case that U.S. data became less downbeat.
15-Aug-2414-Aug-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,350,7274,401,723-50,996-1,866,795
FV6,708,5876,720,900-12,313-519,746
TY4,978,3894,996,950-18,561-1,207,349
UXY2,153,6782,152,512+1,166+107,284
US1,678,8741,692,362-13,488-1,858,776
WN1,628,8631,643,554-14,691-3,377,651
Total-108,883-8,723,034
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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