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OI Suggests Long Setting Dominated On Thursday

US TSY FUTURES

The combination of yesterday's richening in Tsy futures and preliminary OI data points to an apparent mix of long setting (TU, FV, TY & WN futures) and short cover (UXY & US futures) on Thursday.

  • The impact of the former dominated the latter in net DV01 equivalent terms, with the most sizable DV01-adjusted net positioning swing coming via the apparent net long setting seen in TY futures.
  • We have flagged the likely triggers of the post-CPI bid elsewhere. Those drivers allowed the initial data-inspired weakness to be more than reversed.
11-Jan-2410-Jan-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,826,0433,808,149+17,894+684,649
FV5,836,5895,805,198+31,391+1,359,919
TY4,723,8164,677,664+46,152+2,991,078
UXY2,093,1052,097,516-4,411-407,929
US1,446,2621,450,294-4,032-556,046
WN1,680,9991,676,149+4,850+1,052,419
Total+91,844+5,124,091
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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