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OI Points To Mix Of Short Setting & Long Cover Post-CPI

US TSY FUTURES

Yesterday’s weakness in Tay futures and preliminary OI data points to a mix of net short setting (TU, FV, US & WN) and net long cover (TY & UXY) in the wake of the CPI data.

  • The positioning swings largely offset in net OI DV01 equivalent terms and were generally limited across the curve.
  • We previously noted that short positioning had moderated in recent weeks, as yields moved off ’24 highs.
12-Mar-2411-Mar-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,639,1833,617,382+21,801+844,922
FV5,855,8075,838,562+17,245+741,840
TY4,255,8934,293,478-37,585-2,489,714
UXY2,035,1162,036,871-1,755-157,215
US1,480,5111,476,248+4,263+571,513
WN1,580,2051,578,502+1,703+359,699
Total+5,672-128,955
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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