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OI Suggests Short Setting Dominated On Thursday

US TSY FUTURES

The combination of yesterday’s data-inspired Tsy cheapening and preliminary open interest data points to a mix of short setting and long cover across the Tsy futures curve on Thursday.

  • TY was the only contract to see a (marginal) round of net long cover, with the remaining contracts appearing to see fresh shorts set in net terms.
  • That saw a net ~$7mn of DV01 equivalent OI added across the curve, which was lower than the ~$9.5mn round of fresh longs that was seemingly added on Wednesday.
  • Roll activity would have provided some minor skew to the DV01 readings.
14-Sep-2313-Sep-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,688,8253,682,074+6,751+258,938
FV5,497,8865,431,041+66,845+2,844,967
TY4,710,9654,718,743-7,778-507,642
UXY1,808,9081,794,875+14,033+1,287,933
US1,360,2701,345,729+14,541+1,948,272
WN1,537,5931,532,107+5,486+1,124,181
Total+99,878+6,956,648
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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