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OI Points To Mixed Positioning Swings On Thursday

US TSY FUTURES

The combination of preliminary open interest data and Thursday’s twist steepening of the Tsy futures curve points to the following net positioning swings:

  • Short cover: TU futures
  • Short setting: TY, US & WN futures.
  • Long cover: FV & UXY futures.
  • DV01 adjusted net positioning moves were generally contained on the day, with the most notable swings coming via the apparent short setting in TY & WN futures.
21-Dec-2320-Dec-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,782,1633,802,721-20,558-791,846
FV5,712,3465,719,713-7,367-323,258
TY4,573,2204,549,183+24,037+1,576,617
UXY2,038,7972,040,196-1,399-131,346
US1,380,2971,377,183+3,114+437,500
WN1,625,4881,619,720+5,768+1,298,616
Total+3,595+2,066,284
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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