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OI Points To Post-Fed Long Setting Further Out And Short Cover Through Belly

US TSY FUTURES

The combination of yesterday’s ricehning across the Tsy futures curve and preliminary open interest data point to a mix of long setting and short cover around the FOMC decision, as markets provided a swift and notable round of dovish repricing.

  • TU & FV were seemingly subjected to net short cover, while TY, UXY, US & WN futures seemingly saw fresh longs set in net terms.
  • The net DV01 equivalent impact of the apparent long setting seen further out the curve outweighed the apparent short cover seen in TU & FV futures.
13-Dec-2312-Dec-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,912,1193,950,048-37,929-1,482,216
FV5,690,6875,736,316-45,629-2,011,980
TY4,499,2454,473,151+26,094+1,711,905
UXY1,997,6721,981,715+15,957+1,489,614
US1,327,0631,307,612+19,451+2,684,534
WN1,584,1561,577,803+6,353+1,398,206
Total-15,703+3,790,063
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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