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OI Suggests Long Cover Dominated On Monday

US TSY FUTURES

The mix of yesterday’s sell off in futures and preliminary open interest data point to a mix of short setting and long cover across the futures curve to start the week.

  • TU, TY, US & WN futures seemingly saw longs cover in net terms.
  • FV & UXY futures seemingly saw fresh shorts set on net.
  • The largest DV01 equivalent OI swing came in TY futures.
  • The net impact of the aforementioned long cover outweighed the net impact of the previously flagged instances of short setting, meaning that net OI across the Tsy futures curve fell on Monday.
06-Nov-2303-Nov-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,166,9264,180,314-13,388-487,097
FV5,934,7515,906,072+28,679+1,182,599
TY4,610,4604,664,694-54,234-3,431,404
UXY2,010,3942,000,104+10,290+910,318
US1,344,7461,349,921-5,175-653,302
WN1,570,0371,572,228-2,191-412,623
Total-36,019-2,891,508
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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