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OI Points To Net Short Setting In TY Futures On Wednesday

US TSY FUTURES

The combination of yesterday's move lower in Tsy futures and preliminary OI data points to a mix of net short setting (FV, TY, US & WN) and net long cover (TU & UXY).

  • The most notable net positioning swing came via apparent short setting in TY futures.
  • Net DV01 equivalent swings across the rest of the curve essentially offset.
13-Mar-2412-Mar-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,604,8143,636,566-31,752-1,228,091
FV5,876,1725,853,108+23,064+989,722
TY4,302,6574,250,898+51,759+3,418,786
UXY2,029,6252,034,933-5,308-473,924
US1,485,8091,480,092+5,717+762,272
WN1,580,6971,579,696+1,001+209,747
Total+44,481+3,678,512
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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