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OI Points To Mix Of Short Setting & Long Cover Ahead Of Weekend

US TSY FUTURES

The combination of preliminary OI data and Friday's downtick across the Tsy futures curve points to a mix of net short setting (TU, FV & TY futures) and net long cover (UXY, US & WN futures) ahead of the weekend.

  • The latter dominated from a net curve perspective after firmer-than-expected PPI data accelerated the pre-NY sell off (although Tsys ended off lows).
  • The pricing of Fed cuts moderated post-PPI, although finished comfortably off of session extremes as the totality of the data was assessed and some technical boundaries in Tsys held.
  • Block flow also helped the move lower.
  • Comments from San Francisco Fed President Daly had little impact, as she generally echoed recent Fedspeak.
16-Feb-2415-Feb-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,917,9963,893,484+24,512+885,564
FV5,857,5455,848,669+8,876+369,863
TY4,601,3514,601,252+99+6,182
UXY2,168,6922,190,482-21,790-1,939,713
US1,402,3111,410,416-8,105-1,065,536
WN1,657,7711,663,266-5,495-1,130,015
Total-1,903-2,873,656
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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