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OI Suggests Short Setting Dominated On Thursday

US TSY FUTURES

The combination of yesterday's move lower in Tsy futures and preliminary OI data points to net short setting as the dominant positioning theme on Thursday.

  • The only exception to the wider trend came via apparent modest net long cover in FV futures.
  • TU futures saw the most pronounced net OI swing, while net OI movement was limited in UXY through WN futures.
  • A reminder that PPI data, IG$ supply, higher oil prices and BoJ speculation all factored into the weakness.
  • Short positioning had moderated in recent weeks.
  • Tsy yields have moved close to, but not tested, February's year-to-date peaks.
14-Mar-2413-Mar-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,662,7243,601,234+61,490+2,390,443
FV5,851,2005,874,288-23,088-997,356
TY4,317,9304,299,240+18,690+1,244,998
UXY2,033,3762,029,433+3,943+355,670
US1,488,4141,485,576+2,838+391,044
WN1,581,7181,580,629+1,089+233,805
Total+64,962+3,618,603
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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