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OI Points To Mix Of Long Setting & Short Covering

US TSY FUTURES

The combination of Thursday's rally and preliminary OI data point to the following positioning swings:

  • Net long setting: TU & TY futures.
  • Not short cover: FV, UXY, US & WN futures.
  • The apparent net long setting seen in TY futures generated the largest DV01 equivalent OI swing on the day, which managed to tilt the net curve OI swing towards long setting, just.
  • Much of the rally in futures was triggered by the mix of the ECB's post-meeting communique, the totality of yesterday's U.S. data and solid demand metrics at the latest 7-Year Tsy auction.
25-Jan-2424-Jan-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,955,5793,952,678+2,901+106,651
FV5,941,0895,963,421-22,332-955,636
TY4,720,9054,658,616+62,289+3,983,936
UXY2,119,4962,125,104-5,608-510,814
US1,421,8551,430,225-8,370-1,122,500
WN1,665,0271,668,744-3,717-777,312
Total+25,163+724,325
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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