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

US TSY FUTURES

The combination of yesterday's move higher in Tsy futures and preliminary OI data points to the following mix of net positioning swings to start the week:

  • Net long setting: FV, TY & UXY futures.
  • Net short cover: TU, US & WN futures.
  • There was an apparent light bias towards long setting in net curve terms, with UXY seeing the largest such positioning swing in DV01 equivalent terms, while WN futures appeared to see the largest round of DV01 equivalent net short cover.
22-Jan-2419-Jan-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,903,7443,921,251-17,507-660,366
FV5,939,5595,910,796+28,763+1,231,432
TY4,643,6864,632,049+11,637+744,131
UXY2,118,8512,101,426+17,425+1,586,111
US1,445,7711,451,466-5,695-764,527
WN1,666,6631,673,461-6,798-1,421,320
Total+27,825+715,460
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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