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OI Points To Mix Of Long Setting & Short Cover

US TSY FUTURES

The combinations of Monday's rally and preliminary OI data points to the following positioning swings to start the week:

  • Net long setting: FV, TY & US futures.
  • Net short cover: TU, UXY & WN futures.
  • Net short cover seemed to be the dominant positioning factor across the curve, although the net curve OI DV01 equivalent swing was limited, with the same holding true when examining the equivalent movement in contract-by-contract OI.
  • A reminder that a couple of rounds of dovish ECB speak and issuance expectations in light of shallower-than-expected borrowing estimates from the Treasury helped drive Monday's firming.
29-Jan-2426-Jan-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,944,0843,965,492-21,408-801,437
FV5,940,2285,938,153+2,075+88,789
TY4,722,3264,706,846+15,480+992,877
UXY2,097,5842,104,806-7,222-661,078
US1,429,5641,422,090+7,474+1,013,412
WN1,652,2801,659,236-6,956-1,479,378
Total-10,557-846,815
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The combinations of Monday's rally and preliminary OI data points to the following positioning swings to start the week:

  • Net long setting: FV, TY & US futures.
  • Net short cover: TU, UXY & WN futures.
  • Net short cover seemed to be the dominant positioning factor across the curve, although the net curve OI DV01 equivalent swing was limited, with the same holding true when examining the equivalent movement in contract-by-contract OI.
  • A reminder that a couple of rounds of dovish ECB speak and issuance expectations in light of shallower-than-expected borrowing estimates from the Treasury helped drive Monday's firming.
29-Jan-2426-Jan-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,944,0843,965,492-21,408-801,437
FV5,940,2285,938,153+2,075+88,789
TY4,722,3264,706,846+15,480+992,877
UXY2,097,5842,104,806-7,222-661,078
US1,429,5641,422,090+7,474+1,013,412
WN1,652,2801,659,236-6,956-1,479,378
Total-10,557-846,815