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OI Suggests Long Cover Dominated Post-Payrolls

US TSY FUTURES

The combination of the payrolls-driven weakening in Tsy futures and preliminary OI data points to long cover as the dominant positioning factor on the Tsy futures curve ahead of the weekend.

  • TY futures saw the largest DV01 adjusted shift in OI on the day.
  • TU was the exception to the broader theme, seemingly seeing modest fresh shorts set in net terms.
08-Dec-2307-Dec-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,020,8943,999,511+21,383+830,649
FV5,741,3615,786,694-45,333-1,965,448
TY4,419,3144,473,498-54,184-3,471,676
UXY1,975,7181,993,138-17,420-1,581,104
US1,305,1391,313,269-8,130-1,079,996
WN1,574,0091,575,370-1,361-285,821
Total-105,045-7,553,396
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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