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OI Points To Mix Of Fresh Longs & Short Cover On Monday

US TSY FUTURES

The combination of preliminary open interest data and yesterday’s firming in futures (after a sharp reversal from intraday lows as comments from various large fund managers and apparent interest in outright 10-Year yield levels above 5% helped trigger a recovery) point to a mix of long setting and short cover to start the week.

  • TU & UXY futures seemingly saw fresh longs set on net, while FV, TY, US and WN futures seemingly saw shorts cover on net.
  • The net OI DV01 equivalent change across the curve was limited, although slightly tilted more towards short cover.
23-Oct-2320-Oct-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,192,5784,174,036+18,542+685,118
FV5,573,8245,581,503-7,679-315,556
TY4,640,5234,655,544-15,021-938,009
UXY1,965,9711,949,118+16,853+1,461,799
US1,384,2731,391,815-7,542-961,087
WN1,553,4641,555,379-1,915-344,076
Total+3,238-411,812
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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