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OI Suggests Short Cover Dominated On Wednesday

US TSY FUTURES

The combination of yesterday's move higher in Tsy futures and preliminary OI data point to relatively sizeable short cover across most contracts.

  • A modest round of apparent net long setting in UXY futures was the only exception to the broader theme.
  • UK CPI data and dovish Fedspeak from Goolsbee were key drivers on the headline front.
  • Cleaner positioning and the post-CPI shunt higher in yields were also touted as reasons to put fresh longs to work, but as mentioned above, it seemed that cover was the more dominant positioning factor on the day, at least for futures.
14-Feb-2413-Feb-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,896,6813,933,570-36,889-1,342,157
FV5,824,7245,848,756-24,032-1,006,885
TY4,630,8914,669,908-39,017-2,451,230
UXY2,199,5452,191,393+8,152+730,500
US1,414,8711,421,146-6,275-831,927
WN1,664,0881,670,576-6,488-1,345,603
Total-104,549-6,247,301
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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