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

US TSY FUTURES
HomepageBond Market NewsBulletMarketsFixed Income Bullets

Yesterday’s uptick in Tsy futures and preliminary OI data point to modest net long setting in some contracts (TU, TY, UXY & WN) and limited net short cover in others (FV & US). The former provided the dominant positioning factor on the curve, but the net swing was contained.

  • The positioning move came in the wake of Friday’s notable short covering.
  • Spill overs from EGBs and block flow aided Monday’s rally, although Tsy futures volume was relatively subdued.
29-Apr-2426-Apr-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,086,3204,080,930+5,390+194,067
FV5,998,8836,005,531-6,648-272,012
TY4,452,6234,432,980+19,643+1,238,630
UXY2,067,4892,056,607+10,882+923,209
US1,558,7971,561,927-3,130-390,617
WN1,634,1111,630,442+3,669+699,521
Total+29,806+2,392,797
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Yesterday’s uptick in Tsy futures and preliminary OI data point to modest net long setting in some contracts (TU, TY, UXY & WN) and limited net short cover in others (FV & US). The former provided the dominant positioning factor on the curve, but the net swing was contained.

  • The positioning move came in the wake of Friday’s notable short covering.
  • Spill overs from EGBs and block flow aided Monday’s rally, although Tsy futures volume was relatively subdued.
29-Apr-2426-Apr-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,086,3204,080,930+5,390+194,067
FV5,998,8836,005,531-6,648-272,012
TY4,452,6234,432,980+19,643+1,238,630
UXY2,067,4892,056,607+10,882+923,209
US1,558,7971,561,927-3,130-390,617
WN1,634,1111,630,442+3,669+699,521
Total+29,806+2,392,797