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OI Suggests Short Setting & Long Cover Generally Offset On Monday

US TSY FUTURES

The combination of yesterday's downtick in Tsy futures and preliminary OI data points to a mix of short setting and long cover that essentially offset from a net DV01-adjusted OI perspective.

  • Fedspeak, swings in oil prices and European bond peers, as well as a sizeable block sale in FV futures, were all digested on Monday.
  • The largest DV01-adjusted swing came via apparent short setting in the WN contract.
18-Dec-2315-Dec-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,822,1423,830,617-8,475-328,215
FV5,718,8285,736,046-17,218-755,697
TY4,495,5284,489,948+5,580+365,465
UXY2,017,5552,018,204-649-60,772
US1,347,2181,350,771-3,553-497,521
WN1,614,3821,607,377+7,005+1,576,137
Total-17,310+299,397
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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