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

US TSY FUTURES

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

  • The positioning swings were close to offsetting in net curve DV01 equivalent terms.
  • Some supply-related pressure appeared to be evident during much of the NY morning.
  • Overall Tsy positioning seems less short than it did a few weeks ago, so the pockets of net long cover may have represented some profit taking in recently set longs ahead of today's CPI data.
11-Mar-2408-Mar-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,619,1483,662,362-43,214-1,679,958
FV5,837,9245,854,612-16,688-720,889
TY4,293,2794,261,985+31,294+2,084,589
UXY2,036,8722,039,387-2,515-226,860
US1,475,9121,473,374+2,538+349,708
WN1,578,5131,581,159-2,646-568,087
Total-31,231-761,497
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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