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OI Points to Mix Of Positioning Swings Around NFPs, Long Setting In FV Most Notable

US TSY FUTURES

Friday’s twist steepening of the Tsy futures curve and preliminary OI data points to the following net positioning swings:

  • Long setting: TU & FV futures
  • Short cover: TY & UXY futures
  • Short setting: US futures
  • Long cover: WN futures
  • The only meaningful net positioning swing came in FV futures.
  • A reminder that the NFP report drove price action on Friday.
08-Mar-2407-Mar-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,664,5453,647,620+16,925+659,525
FV5,855,4965,781,257+74,239+3,214,263
TY4,264,7474,271,806-7,059-471,312
UXY2,039,4502,045,343-5,893-532,645
US1,475,1771,473,997+1,180+159,978
WN1,581,1321,585,470-4,338-932,925
Total+75,054+2,096,885
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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