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OI Points To Mix Of Long Setting & Short Cover On ULC & Banking Sector Worry

US TSY FUTURES

The combination of yesterday's rally in Tsy futures and preliminary OI data points to a mix of net long setting (TY & US) & short cover (TU, FV, UXY & WN) on Thursday.

  • The overall net curve bias was tilted towards net long setting, largely owing to the apparent positioning swing in US futures.
  • The swings in contract-specific and curve-wide OI DV01 equivalent terms were much more contained than that seen on Wednesday, when notable net long setting was seen.
  • A reminder that the combination of regional banking sector worry and ULC data provided much of the impulse for the move higher in Tsy futures on Thursday, although the space finished shy of best levels.
01-Feb-2431-Jan-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,917,2313,946,545-29,314-1,069,044
FV5,947,2705,950,270-3,000-128,743
TY4,786,9644,774,317+12,647+813,717
UXY2,167,2182,168,986-1,768-164,200
US1,442,2601,425,414+16,846+2,343,369
WN1,648,6261,649,154-528-116,466
Total-5,117+1,678,632
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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