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Short Setting Seemed To Dominate On Wednesday

US TSY FUTURES

The combination of preliminary open interest data and yesterday's outright cheapening point to a mix of short setting and long cover across the Tsy futures curve on Wednesday.

  • TU, TY, UXY and US futures seemingly saw short setting in net terms.
  • FV and WN futures seemingly saw longs covered in net terms.
  • Short setting dominated in net OI DV01 equivalent terms, with ~$2.8mn added across the curve on the day.
18-Oct-2317-Oct-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,116,3474,027,146+89,201+3,305,039
FV5,626,4695,702,110-75,641-3,090,788
TY4,690,5854,668,757+21,828+1,351,645
UXY1,938,3271,922,845+15,482+1,328,516
US1,387,5521,384,421+3,131+402,297
WN1,551,2741,554,235-2,961-523,501
Total+51,040+2,773,208
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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