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OI Points To Mix Of Positioning Swings On Thursday

US TSY FUTURES

The combination of preliminary open interest data and price action observed on Thursday (twist steepening of the Tsy futures curve) points to the following positioning swings.

  • TU seemingly saw fresh longs set, with Fed Chair Powell’s dovish leaning rhetoric re: the Fed’s dual mandate the likely trigger for that swing.
  • Further out, FV and WN futures seemingly saw net long cover.
  • Meanwhile, TY, UXY and US futures seemingly saw shorts added.
  • The most notable DV01 adjusted swing came in TU futures, with the positioning moves seen elsewhere generally netting off in OI DV01 equivalent terms.
19-Oct-2318-Oct-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,181,1174,115,851+65,266+2,413,959
FV5,607,1585,624,684-17,526-717,217
TY4,692,9924,688,075+4,917+305,037
UXY1,938,6541,938,188+466+40,058
US1,399,8081,388,999+10,809+1,388,088
WN1,547,9201,551,268-3,348-605,821
Total+60,584+2,824,105
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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