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OI Suggests Long Setting Dominated On Tuesday

US TSY FUTURES

The combination of yesterday’s rally in Tsy futures and preliminary open interest data points to a mix of long setting and short cover across the Tsy futures curve on Tuesday.

  • FV, UXY, US and WN futures seemingly saw longs added on net.
  • Meanwhile, TU & TY futures seemingly saw net short cover, although the move in TY OI was miniscule.
  • FV futures saw the largest DV01-adjusted swing in OI.
  • The apparent rounds of net long setting flagged above more than offset the apparent rounds of short cover.
07-Nov-2306-Nov-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,133,6874,166,001-32,314-1,173,015
FV5,981,4895,933,965+47,524+1,956,160
TY4,608,1034,608,105-2-126
UXY2,013,0772,010,171+2,906+257,123
US1,351,3071,344,633+6,674+845,373
WN1,571,8131,569,768+2,045+387,109
Total+26,833+2,272,625
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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