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OI Points To Net Long Setting Across the Curve On Wednesday

US TSY FUTURES

The combination of yesterday’s move higher in Tsy futures and preliminary OI data points to fresh net long setting across the curve on Wednesday. Over $12.5mn of net OI DV01 equivalent was added across the curve, which is sizeable.

  • A reminder that the NYC Bancorp news, data and month-end extension-related flow helped underpin the Tsy space on Wednesday, even during Powell-/FOMC-inspired pullbacks.
  • The most meaningful net OI DV01 equivalent swing came in UXY futures.
31-Jan-2430-Jan-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,945,7243,921,243+24,481+915,308
FV5,950,8575,931,317+19,540+838,852
TY4,779,7714,719,247+60,524+3,905,782
UXY2,169,5372,105,683+63,854+5,898,707
US1,425,8981,421,793+4,105+564,483
WN1,649,0681,646,495+2,573+557,396
Total+175,077+12,680,528
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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