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OI Points to Mix Of Short & Long Setting As Curve Twist Flattened On Friday

US TSY FUTURES

The combination of preliminary open interest data and Friday’s twist flattening of the Tsy futures curve point to a mix of net short and long setting ahead of the weekend.

  • TU through TY futures seemingly saw fresh shorts added on net, while UXY through WN futures seemingly saw fresh longs added on net.
  • The cumulative apparent net short setting seen in TU through TY futures marginally outweighed the cumulative apparent net long setting in UXY through WN futures in OI equivalent terms.
10-Nov-2309-Nov-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,160,8244,140,331+20,493+736,845
FV5,952,2855,921,192+31,093+1,269,999
TY4,601,2664,599,341+1,925+120,721
UXY2,023,1492,010,505+12,644+1,110,867
US1,340,1381,339,633+505+63,433
WN1,581,4441,579,950+1,494+280,927
Total+68,154+3,582,792
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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