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OI Points To Mix Of Net Long Setting & Short Cover On Tuesday

US TSY FUTURES

Yesterday's uptick in Tsy futures and preliminary OI data points to a mix of net long setting (TU, FV & WN futures) and net short cover (TY, UXY & US futures).

  • The rounds of net long setting were slightly more pronounced, although individual contract OI swings were relatively limited.
  • This came as 2- & 5-Year yields moved away from fresh '24 highs.
  • The J.P.Morgan client survey pointed to an uptick in short positioning amongst active clients last week.
19-Mar-2418-Mar-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,697,4703,680,365+17,105+655,743
FV5,838,7915,827,290+11,501+489,940
TY4,289,4754,289,479-4-262
UXY2,032,5822,034,308-1,726-152,747
US1,482,2051,483,739-1,534-201,733
WN1,580,5771,575,059+5,518+1,134,893
Total+30,860+1,925,833
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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