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OI Points To Mix Of Long Cover & Short Setting On Friday

US TSY FUTURES

The combination of the general move lower in U.S. Tsy futures on Friday & preliminary OI data point to the following net positioning swings ahead of the weekend:

  • Long cover: FV, TY and WN futures
  • Short setting: UXY & US futures
  • It is hard to be sure when it comes to TU futures given the unchanged price status on the day come settlement.
  • Long cover appeared to be the dominant positioning factor from a net curve perspective, with TY futures seeing the largest DV01 equivalent OI swing.
18-Jan-2417-Jan-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,912,5203,895,429+17,091+645,772
FV5,903,2185,919,104-15,886-680,963
TY4,649,0584,692,374-43,316-2,774,217
UXY2,092,6922,086,051+6,641+605,887
US1,444,5601,442,152+2,408+324,975
WN1,673,9431,674,615-672-141,580
Total-33,734-2,020,127
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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