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OI Points to Mix Of Long Cover & Short Setting On Monday

US TSY FUTURES

Yesterday's extension lower in Tsy futures and preliminary OI data point to a mix of net long cover (FV, TY & WN futures) and net short setting (TU, UXY & US futures).

  • The former dominated the latter in net curve terms, although DV01 equivalent net OI swings across contracts and the wider curve were contained.
  • A reminder that the stronger-than-expected ISM services survey (particularly the prices paid and employment components) provided a major input for yesterday's move lower in futures. Fedspeak & $IG issuance also factored in.
  • A reminder that last Wednesday saw notable net length added across the futures curve (a little over $12.5mn DV01), which has likely factored into the apparent long cover seen post-NFPs/ISM services.
05-Feb-2402-Feb-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,917,3573,913,107+4,250+157,018
FV5,863,3185,888,298-24,980-1,057,458
TY4,699,4064,725,058-25,652-1,626,388
UXY2,185,1822,175,447+9,735+880,684
US1,431,8821,431,482+400+53,573
WN1,650,3831,652,668-2,285-478,599
Total-38,532-2,071,170
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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