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

US TSY FUTURES

The combination of yesterday’s post-data move higher in Tsy futures and preliminary OI readings point to a mix of relatively contained net long setting and short cover across the curve.

  • We flagged a more balanced positioning set up heading into the data (at least when compared to the pre-NFP setup), this is probably reflected in the post-data net OI adjustments.
  • Net long setting seemed to be seen in TU, FV, TY, US & WN futures, with net short cover only witnessed in UXY futures.
15-May-2414-May-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,036,2894,031,523+4,766+168,722
FV6,252,4286,200,591+51,837+2,132,828
TY4,402,5844,395,741+6,843+438,614
UXY2,128,4302,143,636-15,206-1,320,345
US1,618,5301,603,924+14,606+1,900,644
WN1,673,4761,656,515+16,961+84,805
Total+79,807+3,405,268
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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