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OI Points To Short Setting Dominating On Tuesday

US TSY FUTURES

Tuesday’s outright cheapening and preliminary open interest data points to mixture of short setting and long cover across the Tsy futures curve.

  • Short setting outweighed long cover in net DV01 equivalent terms.
  • TU, UXY & US futures seemingly saw short setting on net.
  • FV, TY & WN futures seemingly saw long cover on net.
17-Oct-2316-Oct-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,026,9554,006,185+20,770+772,852
FV5,702,9765,715,259-12,283-505,568
TY4,673,2234,686,994-13,771-861,651
UXY1,922,9531,908,475+14,478+1,259,007
US1,384,5211,373,852+10,669+1,360,511
WN1,554,2551,557,818-3,563-644,725
Total+16,300+1,380,425
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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