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OI Points To Contained Position Adjustments On Wednesday

US TSY FUTURES

The combination of yesterday’s twist steepening of the Tsy futures curve and preliminary OI data points to a mix of long setting (TU), short cover (FV, TY, UXY & US) and short setting (WN) on Wednesday.

  • A reminder that Tuesday’s net positioning swings were seemingly dominated by short setting (with WN providing the only exception).
  • Net DV01 equivalent swings were fairly contained on Wednesday, with the most notable round of net positioning swings seemingly being provided by the apparent short cover flagged in FV through US contracts.
  • WN futures saw the largest net OI equivalent swings when looking at single contracts.
03-Jan-2402-Jan-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,773,5483,770,523+3,025+117,219
FV5,763,6115,797,308-33,697-1,465,643
TY4,614,9414,619,587-4,646-301,917
UXY2,082,1462,082,308-162-15,049
US1,423,3011,427,289-3,988-554,029
WN1,672,2361,665,202+7,034+1,550,367
Total-32,434-669,052
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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