US TSY FUTURES: Net Long Setting Dominated On Thursday
OI data points to net long setting dominating as weakness in tech shares & oil, along with strong demand at the latest 30-Year auction, helped drive Treasury futures higher on Thursday.
- ~$7.6mln DV01 of net fresh long exposure was set in curve-wide terms.
- Only modest net short cover in FV futures interrupted the wider theme.
| 12-Feb-26 | 11-Feb-26 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,673,885 | 4,645,782 | +28,103 | +1,025,507 |
FV | 6,846,494 | 6,863,899 | -17,405 | -744,805 |
TY | 5,453,541 | 5,437,581 | +15,960 | +1,052,489 |
UXY | 2,551,260 | 2,535,703 | +15,557 | +1,394,500 |
US | 1,753,963 | 1,742,071 | +11,892 | +1,666,001 |
WN | 2,208,568 | 2,190,986 | +17,582 | +3,232,742 |
|
| Total | +71,689 | +7,626,435 |
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US TSY FUTURES: Long Setting In TY Dominated On Tuesday
OI data points to net long setting in most contracts as Tsy futures ticked higher on Tuesday, with that theme only interrupted by net short cover in US futures. TY futures provided the largest net DV01 positioning swing on the day (~$5.1mln).
| 13-Jan-26 | 12-Jan-26 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,469,368 | 4,464,369 | +4,999 | +191,005 |
FV | 6,714,924 | 6,712,433 | +2,491 | +108,436 |
TY | 5,692,840 | 5,615,712 | +77,128 | +5,130,080 |
UXY | 2,583,955 | 2,582,702 | +1,253 | +112,759 |
US | 1,807,345 | 1,817,918 | -10,573 | -1,473,038 |
WN | 2,107,796 | 2,102,811 | +4,985 | +920,406 |
|
| Total | +80,283 | +4,989,649 |
SONIA OPTIONS: Vol Trade
SFIH6 96.45^, sold at 8.75 in 1.5k.
EURIBOR OPTIONS: Outright Call Buyer
ERM6 97.93c, bought for 6 in 3.6k.
