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OI Points To Long Setting In The Belly After 5-Year Auction

US TSY FUTURES

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

  • The most notable movement in net positioning came via the apparent net long setting across the FV & TY contracts, with the smooth passage of 5-Year supply helping Tsys rally ahead of the close.
26-Mar-2425-Mar-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,725,1843,736,676-11,492-436,967
FV5,941,4675,912,240+29,227+1,243,807
TY4,320,8154,302,745+18,070+1,185,819
UXY2,034,8592,035,433-574-50,910
US1,501,4011,496,600+4,801+635,218
WN1,582,0491,584,407-2,358-488,528
Total+37,674+2,088,439
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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