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OI Indicates Mixed Positioning Swings Ahead Of Weekend

US TSY FUTURES

The com,bination of Friday’s twist flattening on the Tsy futures curve and preliminary OI data points to the following positioning swings ahead of the weekend.

  • Long cover: TU & TY futures.
  • Short setting: FV futures.
  • Long setting: US & WN futures.
  • Positioning swings in UXY futures are harder to define given the lack of net price movement on the day,
  • A reminder that the mix of well-documented comments from NY Fed President Williams, softer-than-expected Eurozone PMIs and mixed vs. exp. U.S. PMIs provided the headline fundmanetal inputs on the day.
15-Dec-2314-Dec-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,833,8323,900,460-66,628-2,585,138
FV5,739,3995,688,062+51,337+2,257,355
TY4,495,1904,507,969-12,779-838,123
UXY2,018,4702,002,328+16,142+1,512,705
US1,351,0071,342,356+8,651+1,212,881
WN1,607,6711,599,190+8,481+1,913,721
Total+5,204+3,473,400
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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