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OI Points To Mix Of Limited Positioning Swings On Thursday

US TSY FUTURES

Thursday’s twist flattening of the Tsy futures curve and preliminary OI data points to a mix of net short setting (TU & FV), net long cover (TY & UXY) and net long setting (US & WN).

  • Note that all net positioning swings were relatively limited in DV01 equivalent terms.
  • The inflation components of the latest flash S&P Global PMIs & Philly Fed surveys, along with the weekly jobless claims data, helped counter the rally that came on the back of the SNB & BoE decisions.
21-Mar-2420-Mar-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,721,5633,719,991+1,572+60,046
FV5,861,7255,841,498+20,227+862,455
TY4,301,8054,315,302-13,497-885,962
UXY2,036,6612,038,987-2,326-206,333
US1,498,4051,493,664+4,741+626,547
WN1,590,2301,587,466+2,764+570,787
Total+13,481+1,027,540
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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