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OI Points To Sizeable Net Long Setting On Wednesday

US TSY FUTURES
HomepageBond Market NewsBulletMarketsFixed Income Bullets

The combination of yesterday's rally in Tsy futures and OI data points to net long setting across the curve, with a sizeable net DV01 equivalent of ~$10.5mn longs added across the major contracts.

  • TY futures saw the largest net OI DV01 equivalent swing.
  • Feedthrough from a well received round of 7-Year Tsy supply added to the rally late in the day, after upticks in European bonds provided support earlier int he day.
  • HAwkish commnets from Fed Governor Waller have weighed on Tsys in pre-NY trade on Thursday.
27-Mar-2426-Mar-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,756,1673,725,480+30,687+1,160,033
FV6,000,3735,941,923+58,450+2,481,958
TY4,386,0214,328,363+57,658+3,780,739
UXY2,049,2252,034,810+14,415+1,279,204
US1,512,2311,501,559+10,672+1,417,544
WN1,583,6811,582,042+1,639+342,731
Total+173,521+10,462,209
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The combination of yesterday's rally in Tsy futures and OI data points to net long setting across the curve, with a sizeable net DV01 equivalent of ~$10.5mn longs added across the major contracts.

  • TY futures saw the largest net OI DV01 equivalent swing.
  • Feedthrough from a well received round of 7-Year Tsy supply added to the rally late in the day, after upticks in European bonds provided support earlier int he day.
  • HAwkish commnets from Fed Governor Waller have weighed on Tsys in pre-NY trade on Thursday.
27-Mar-2426-Mar-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,756,1673,725,480+30,687+1,160,033
FV6,000,3735,941,923+58,450+2,481,958
TY4,386,0214,328,363+57,658+3,780,739
UXY2,049,2252,034,810+14,415+1,279,204
US1,512,2311,501,559+10,672+1,417,544
WN1,583,6811,582,042+1,639+342,731
Total+173,521+10,462,209