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OI Points To Mix Of Short Setting & Long Cover

US TSY FUTURES

Yesterday’s move lower in Tsy futures and preliminary OI data points to a mix of short setting (TU, TY, UXY & WN) and long cover (FV & US), with net curve positioning tilted slightly towards short setting.

  • Production data and Fedspeak factored into the sell off, although the space finished off session extremes as 2s failed to sustainably breach 5.00%.
16-Apr-2415-Apr-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,991,2783,954,628+36,650+1,344,403
FV6,015,0696,042,162-27,093-1,116,815
TY4,438,2424,417,425+20,817+1,317,725
UXY2,062,1702,056,415+5,755+489,460
US1,544,9751,554,238-9,263-1,153,890
WN1,608,5581,607,993+565+107,786
Total+27,431+988,669
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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