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OI Points To Mix Of Long Cover & Short Setting Post-NFPs

US TSY FUTURES

The mix of Friday's post-payrolls sell off in Tsy futures and preliminary OI data points to a mix of net long cover (FV, TY & US futures) and net short setting (TU, UXY & WN futures) ahead of the weekend.

  • The former dominated in net curve terms, with the most pronounced net DV01 equivalent OI swing coming via apparent long cover in TY futures.
  • A reminder that the long cover comes in the wake of the notable long setting seen earlier last week (a little over ~$12.5mn DV01 equivalent of net longs were set across the Tsy futures curve on Wednesday).
02-Feb-2401-Feb-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,915,7123,914,910+802+29,680
FV5,892,0655,940,748-48,683-2,066,091
TY4,737,4324,785,636-48,204-3,070,783
UXY2,176,4732,167,219+9,254+843,503
US1,432,6651,438,845-6,180-838,592
WN1,652,7591,647,369+5,390+1,151,383
Total-87,621-3,950,899
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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