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OI Indicates Short Setting Drove Positioning Swings On Friday

US TSY FUTURES

The combination of Friday’s cheapening and preliminary open interest data indicate that short setting and long cover was seen when it came to net positioning swings across the futures curve ahead of the weekend.

  • The setting of fresh shorts appeared to outweigh the long covering when we look across the curve.
  • TU, TY, UXY & US futures seemingly saw fresh shorts added on net, with the largest OI DV01 equivalent change coming in US futures.
  • Meanwhile, FV & WN futures seemingly saw longs cut on net.
11-Aug-2310-Aug-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,776,1073,764,608+11,499+415,077
FV5,652,3865,661,984-9,598-398,412
TY4,823,9824,815,979+8,003+521,843
UXY1,831,0191,824,368+6,651+608,138
US1,321,5601,310,726+10,834+1,494,264
WN1,558,3881,563,269-4,881-995,955
Total+22,508+1,644,956
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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