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OI Suggests Long Setting Dominated In Wake Of Wednesday's Data

US TSY FUTURES

The combination of yesterday’s rally in Tsy futures and preliminary OI data points to a mix of net long setting and short cover in the wake of the softer-than-expected U.S. economic activity and labour market data.

  • Long setting dominated in net curve terms, with the most meaningful positioning adjustments coming in FV & TY futures.
  • The net short setting was confined to the longer end (US & WN futures).
03-Jul-2402-Jul-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,262,8774,251,318+11,559+443,191
FV6,299,7556,267,430+32,325+1,364,806
TY4,437,0864,373,056+64,030+4,085,252
UXY2,083,0622,081,059+2,003+178,396
US1,675,7521,685,961-10,209-1,331,321
WN1,662,4181,665,721-3,303-660,394
Total+96,405+4,079,931
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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