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OI Points To Long Setting Across Most Of The Curve Post-PPI

US TSY FUTURES

The combination of Friday's twist steepening of the Tsy futures curve and preliminary OI data points to the following positioning swings ahead of the weekend.

  • Long setting: TU, FV, TY & US futures.
  • Short cover: UXY futures
  • Long cover: WN futures
  • Apparent long setting was the dominant factor in net DV01 equivalent terms when looking across the wider futures curve, with the largest swing in individual contract terms coming via the apparent long setting in TU futures.
  • A quick reminder that softer-than-expected U.S. PPI data (driven by perceptions surrounding feedthrough into the upcoming PCE print) & subsequent dovish Fed repricing provided the major impulse for Tsy trade on Friday.
12-Jan-2411-Jan-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,864,2833,823,179+41,104+1,576,947
FV5,852,7815,833,640+19,141+831,899
TY4,723,3684,716,097+7,271+472,871
UXY2,090,0032,092,417-2,414-223,990
US1,454,8831,445,782+9,101+1,260,032
WN1,678,5461,680,824-2,278-494,962
Total+71,925+3,422,797
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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