Free Trial

OI Suggests Rounds Of Short Setting & Long Cover Essentially Offset On Wednesday

US TSY FUTURES

The combination of yesterday's weakness in Tsy futures and preliminary OI data point to the following positioning swings across the curve on Wednesday:

  • Net short setting: TU, TY and WN futures
  • Net long cover: FV, UXY and US futures.
  • Net curve OI was little changed on the day, with the above positioning swings essentially offsetting.
  • A quick reminder that firmer-than expected S&P Global PMI data and a poorly-received round of 5-Year Tsy supply factored into yesterday's Tsy sell off.
24-Jan-2423-Jan-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,953,1773,940,883+12,294+462,547
FV5,964,9535,996,015-31,062-1,326,967
TY4,663,6604,638,039+25,621+1,634,336
UXY2,125,8942,130,261-4,367-396,350
US1,429,4671,440,685-11,218-1,495,504
WN1,668,6781,661,303+7,375+1,530,028
Total-1,357+408,090
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.