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OI Points To Sizeable Long Setting Across Curve On Thursday

US TSY FUTURES

Post-Fed feedthrough continued to dominate on Thursday, with the combination of the outright richening on the Tsy futures curve and preliminary OI data pointing to a net DV01 adjusted net long addition of nearly $10mn across the major futures contracts.

  • Apparent long setting was seen across the board.
14-Dec-2313-Dec-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,923,6303,905,851+17,779+691,378
FV5,705,9975,688,391+17,606+774,807
TY4,516,8694,492,507+24,362+1,598,619
UXY2,005,8721,994,112+11,760+1,101,099
US1,343,0761,326,698+16,378+2,288,007
WN1,599,3951,583,904+15,491+3,473,515
Total+103,376+9,927,425
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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