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OI Indicates Short Setting Seen Across Most Of The Curve On Monday & Tuesday

US TSY FUTURES

The combination of the move lower in Tsy futures and preliminary OI data points to net short setting across most contracts since Friday’s close, with Fed & ECB speak witnessed in that time (most notably from Fed Governor Waller) providing the most meaningful inputs.

  • The largest DV01 equivalent OI swing came in FV futures.
  • Meanwhile, the only exception to the wider positioning theme seemed to come in US futures, where apparent long cover was observed.
  • Still, the net short setting witnessed elsewhere comfortably outweighed the OI DV01 equivalent change in that contract.
16-Jan-2412-Jan-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,901,5613,864,283+37,278+1,422,006
FV5,915,9335,852,781+63,152+2,726,182
TY4,739,5874,723,368+16,219+1,045,665
UXY2,094,0152,090,003+4,012+368,317
US1,442,5071,454,883-12,376-1,684,004
WN1,679,1721,678,546+626+135,838
Total+108,911+4,014,004
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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