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OI Points To Mix Of Short Setting & Long Cover

US TSY FUTURES

The combination of the downtick in Tsy futures and preliminary OI data points to the following positioning swings ahead of the weekend.

  • Net short setting: TU & FV futures.
  • Net long cover: TY, UXY, US & WN futures
  • Net OI DV01 equivalent swings were fairly contained, with UXY futures seeing the largest net contract swing and the net curve positioning swing tilted towards long cover.
26-Jan-2425-Jan-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,966,6813,954,092+12,589+462,029
FV5,945,7085,939,814+5,894+252,001
TY4,713,6244,716,288-2,664-170,418
UXY2,104,8202,119,503-14,683-1,338,605
US1,420,8081,421,552-744-100,109
WN1,658,9881,663,582-4,594-965,348
Total-4,202-1,860,450
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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