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OI Points to Sizeable Long Setting During Wednesday's Rally

US TSY FUTURES

The combination of yesterday’s richening in Tsys and preliminary OI data point to relatively sizeable long setting across the futures curve on Wednesday.

  • All major contracts seemed to see fresh longs set in net terms, with a little over $10mn DV01 equivalent exposure added across the curve.
  • That level of net DV01 equivalent swing is particularly impressive given the time of year.
  • WN futures saw the largest DV01 equivalent swing, closely followed by the FV & US contracts.
  • A reminder that yesterday’s bid in Japanese/European/UK peers, well-received 5-Year Tsy supply and downtick in oil were all touted as supportive factors at different points of the day (along with the lack of corporate supply and month-/year-end extensions).
27-Dec-2326-Dec-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,784,8693,762,070+22,799+875,297
FV5,799,1745,742,460+56,714+2,489,834
TY4,610,2534,589,528+20,725+1,362,483
UXY2,049,8402,043,844+5,996+565,014
US1,395,5891,378,929+16,660+2,363,504
WN1,635,2151,623,045+12,170+2,765,960
Total+135,064+10,422,092
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
HomepageBond Market NewsBulletMarketsFixed Income Bullets
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
HomepageBond Market NewsBulletMarketsFixed Income Bullets

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