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OI Points To Mix Of Modest Positioning Swings On Tuesday

US TSY FUTURES

The combination of yesterday's twist flattening of the Tsy futures curve (come settlement time) and preliminary OI data points to the following net positioning swings across the curve on Tuesday.

  • Net long cover: TU & FV futures
  • Net long setting: TY & UXY futures
  • Net short cover: US & WN futures
  • DV01 equivalent OI swings in each contract were contained, with a bias towards a mix of short and long cover in net curve terms.
30-Jan-2429-Jan-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,921,6243,943,178-21,554-805,598
FV5,932,1095,943,189-11,080-474,145
TY4,721,8614,720,623+1,238+79,502
UXY2,105,7942,097,400+8,394+770,604
US1,422,8641,429,081-6,217-847,500
WN1,646,6231,652,422-5,799-1,243,128
Total-35,018-2,520,264
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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