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OI Suggests Long Cover Provided Most Meaningful Positioning Swing On Thursday

US TSY FUTURES

The combination of Thursday's general weakness in Tsy futures and preliminary OI data points to the following positioning swings:

  • Short setting: UXY & US futures.
  • Long cover: FV, TY & WN futures
  • It is hard to be sure when it comes to positioning in TU futures, given the unchanged price status come settlement.
  • The largest net DV01 equivalent OI swing came in TY futures, with contained net swings seen elsewhere.
  • The net curve OI saw a relatively limited move lower, as the apparent rounds of net long cover outweighed the apparent rounds of modest net long setting.
18-Jan-2417-Jan-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,912,6923,895,429+17,263+653,676
FV5,904,2325,919,104-14,872-637,747
TY4,649,2784,692,374-43,096-2,756,222
UXY2,093,3412,086,051+7,290+662,894
US1,444,4761,442,152+2,324+311,288
WN1,673,9251,674,615-690-143,617
Total-31,781-1,909,729
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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