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OI Indicates Short Setting Dominated On Thursday

US TSY FUTURES

The combination of Thursday's cheapening across the Tsy futures curve and preliminary OI data point to a mix of net long cover and short setting.

  • TU futures appeared to be the only major contract to see net long cover, with apparent short setting seen elsewhere.
  • The total DV01 equivalent net positioning swing seen across the curve sat at just under $5mn. While that is not a negligible amount, it only equates to just under 50% of the $10mn+ DV01 equivalent of net longs that seemed to be added on Wednesday.
28-Dec-2327-Dec-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,776,4803,784,631-8,151-311,254
FV5,813,9995,783,099+30,900+1,351,748
TY4,630,7514,608,868+21,883+1,432,939
UXY2,057,5952,049,482+8,113+761,553
US1,398,3791,394,332+4,047+571,335
WN1,640,2641,635,135+5,129+1,157,741
Total+61,921+4,964,062
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
HomepageBond Market NewsBulletMarketsFixed Income Bullets
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
HomepageBond Market NewsBulletMarketsFixed Income Bullets

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