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OI Points To Mix Of Positioning Swings On Wednesday

US TSY FUTURES

The combination of yesterday's twist steepening of the curve and preliminary OI data points to the following positioning swings on Wednesday:

  • Long setting: TU futures
  • Short setting: FV & TY futures
  • Long cover: UXY., US & WN futures
  • The above presents a fairly well-defined round of positioning movement across different areas of the curve.
  • Still, net DV01 equivalent OI swings across the curve were relatively contained, with the most sizeable move coming via the apparent short setting seen in the TY contract.
10-Jan-2409-Jan-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,808,4293,781,482+26,947+1,036,313
FV5,804,6595,798,897+5,762+249,258
TY4,677,7714,649,831+27,940+1,804,363
UXY2,097,5562,098,433-877-80,710
US1,451,0271,451,468-441-60,374
WN1,676,1491,678,240-2,091-451,647
Total+57,240+2,497,203
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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