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OI Points To Net Short Cover As Dominant Positioning Swing On Tuesday

US TSY FUTURES

The combination of yesterday’s twist flattening of the Tsy futures curve and preliminary OI data points to the following net positioning swings on Tuesday:

  • Net long cover: TU
  • Net short cover: FV, TY, UXY & WN futures.
  • Net long setting: US futures
  • The apparent net short cover flagged above provided the dominant positioning move in net curve terms.
  • A reminder that news flow was fairly muted on Tuesday, with a rally in European & UK bonds providing support ahead of the smooth passage of 3-Year Tsy supply. Tsys then faded from session highs into the close.
  • More boradly, net shorts have seemingly been pared in the time since Friday's NFP release.
07-May-2406-May-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,070,2314,082,117-11,886-434,197
FV6,042,6046,098,063-55,459-2,276,332
TY4,383,4734,415,156-31,683-2,015,857
UXY2,143,2722,147,959-4,687-402,496
US1,600,2811,590,133+10,148+1,294,521
WN1,643,6161,644,199-583-114,463
Total-94,150-3,948,823
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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