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Short Cover The Apparent Marginal Dominant Positioning Factor On Friday

US TSY FUTURES

The combination of Friday’s geopolitical-angst inspired rally and preliminary open interest data point to a mix of short cover and long setting across the Tsy futures curve ahead of the weekend.

  • TU, TY, UXY and WN seemingly saw light long setting in net terms.
  • Meanwhile, short cover was seemingly seen in FV and US futures, with the DV01 equivalent there more than outweighing the apparent long setting seen elsewhere.
13-Oct-2312-Oct-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,995,6153,994,241+1,374+51,327
FV5,710,2245,718,223-7,999-331,751
TY4,697,1194,695,934+1,185+74,939
UXY1,909,4451,908,203+1,242+109,467
US1,368,8871,379,837-10,950-1,426,786
WN1,551,7351,550,989+746+138,487
Total-14,402-1,384,317
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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