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OI Points To Mix Of Net Short Setting & Long Cover During Thursday's Sell Off

US TSY FUTURES

OI suggests that yesterday’s weekly jobless claims-driven sell off was facilitated by a mix of net short setting and long cover.

  • Note that the net curve DV01 swing was limited.
  • We flagged the recent, sizeable build up of longs as a risk to the market around the data release.
  • Market positioning still seems long at this stage, with next week’s PPI & CPI data set to provide the next round of meaningful fundamental inputs.
08-Aug-2407-Aug-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,412,7204,394,582+18,138+658,477
FV6,701,9116,640,427+61,484+2,604,412
TY4,879,6994,893,743-14,044-913,196
UXY2,157,6202,154,547+3,073+281,669
US1,722,0561,742,037-19,981-2,725,182
WN1,675,5121,671,167+4,345+981,956
Total+53,015+888,136
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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