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Short Setting Seemed To Be Offset By Long Cover On Friday

US TSY FUTURES

The combination of Friday’s cheapening and preliminary open interest data point to a mix of short setting and long cover when it came to net positioning swings on the final day of last week.

  • TU, FV & UXY seemingly saw fresh net shorts set.
  • TY, US & WN seemingly saw longs covered on net.
  • The two generally offset each other in DV01 equivalent terms, with little net change across the curve in that metric on the day.
06-Oct-2305-Oct-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,994,0133,983,919+10,094+380,410
FV5,702,8605,675,422+27,438+1,138,755
TY4,756,1224,762,578-6,456-406,470
UXY1,902,2351,895,647+6,588+575,156
US1,402,1041,406,788-4,684-598,151
WN1,553,8821,558,283-4,401-795,295
Total+28,579+294,405
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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