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OI Points To Short Cover Dominating On Tuesday

US TSY FUTURES

The combination of yesterday’s rally across the curve and preliminary OI data points to net short cover as the dominant positioning factor on Tuesday, with only light pockets of apparent net long setting in TU & UXY futures breaking the trend.

  • The existing short positioning bias in Tsy futures (although some of that will be basis-linked) and yield levels/Fed pricing will have promoted an extension of yesterday’s moves, with proximity to today’s CPI release also factoring in.
09-Apr-2408-Apr-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,860,0583,851,123+8,935+332,462
FV6,069,6426,090,472-20,830-873,657
TY4,362,8004,380,362-17,562-1,136,846
UXY2,041,6162,040,052+1,564+136,756
US1,526,6611,535,334-8,673-1,129,291
WN1,602,7091,604,307-1,598-324,021
Total-38,164-2,994,596
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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