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OI Suggests Net Short Cover Was Seen Across Most Of Curve On Tuesday

US TSY FUTURES

The combination of yesterday’s rally in Tsy futures and preliminary OI data points to net short cover across most of the curve, with well-received 3-Year Tsy supply, Fedspeak & NYC Bancorp worry filtering into the rally at different stages on Tuesday.

  • Apparent, modest net long setting in TU futures provided the only exception to the wider theme, allowing the apparent net short cover seen elsewhere to dominate in net curve terms, although contract-specific DV01 equivalent net OI swings were contained.
06-Feb-2405-Feb-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,935,6463,917,143+18,503+683,278
FV5,819,2065,863,223-44,017-1,866,231
TY4,681,2274,693,222-11,995-762,659
UXY2,184,2592,185,154-895-81,267
US1,425,1991,428,878-3,679-495,978
WN1,650,3171,650,360-43-9,082
Total-42,126-2,531,938
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
HomepageBond Market NewsBulletMarketsFixed Income Bullets
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
HomepageBond Market NewsBulletMarketsFixed Income Bullets

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