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OI Points To Mix Of Short Cover & Long Setting On Friday

US TSY FUTURES

The combination of Friday’s rally in Tsy futures, which was at least partially driven by weekend risk aversion surrounding the Israel-Hamas conflict, and preliminary open interest data point to a mix of short cover and long setting ahead of the weekend.

  • UXY and WN futures seemingly saw fresh longs set on net, while the remainder of the curve seemingly saw short cover on net.
  • The impact of the short cover outweighed the impact of the long setting in DV01 equivalent net terms, although the net curve OI DV01 equivalent swing on the day was modest.
20-Oct-2319-Oct-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,177,2904,180,236-2,946-108,894
FV5,586,1305,605,752-19,622-802,148
TY4,657,8234,693,292-35,469-2,192,469
UXY1,949,8051,938,659+11,146+951,552
US1,398,5911,399,859-1,268-156,388
WN1,555,6281,547,910+7,718+1,327,447
Total-40,441-980,901
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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