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OI Points To Net Long Setting & Short Cover As Geopolitical Worry Picked Up On Fri

US TSY FUTURES

The combination of Friday's rally in Tsy futures and preliminary OI data point to a mix of net long setting (TU, TY, UXY, US & WN futures) and net short cover (FV futures) as geopolitical angst picked up ahead of the weekend.

  • The swing in net curve DV01 equivalent exposure was very limited on Friday, with the size of the net short covering seen in FV futures countering most of the net long setting seen elsewhere.
12-Apr-2411-Apr-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,954,9583,942,160+12,798+470,895
FV6,041,3986,091,270-49,872-2,063,855
TY4,418,8094,416,108+2,701+171,954
UXY2,065,0712,053,942+11,129+953,744
US1,541,0401,536,257+4,783+603,919
WN1,616,1001,614,576+1,524+297,092
Total-16,937+433,750
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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