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OI Points To Limited Net Positioning Movement During Monday's Sell Off

US TSY FUTURES

The combination of yesterday's move lower in Tsy futures and preliminary OI data points to limited net position movement on the day, as rounds of short setting and long cover generally offset.

  • It felt like a low conviction day at the time, with momentum and continued speculation surrounding higher for longer rates (news flow saw an FT survey pointing the need for higher for longer rates and potential hawkish Fed appointments by Trump if he becomes President) front and centre.
  • 2- & 5-Year yields hit fresh '24 highs on the day.
18-Mar-2415-Mar-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,681,0893,654,002+27,087+1,038,665
FV5,827,6055,833,114-5,509-234,273
TY4,291,4134,297,865-6,452-421,593
UXY2,034,2872,030,631+3,656+322,437
US1,483,2061,479,173+4,033+528,388
WN1,575,0591,577,870-2,811-576,325
Total+20,004+657,300
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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