The combinations of Monday's rally and preliminary OI data points to the following positioning swings to start the week:
- Net long setting: FV, TY & US futures.
- Net short cover: TU, UXY & WN futures.
- Net short cover seemed to be the dominant positioning factor across the curve, although the net curve OI DV01 equivalent swing was limited, with the same holding true when examining the equivalent movement in contract-by-contract OI.
- A reminder that a couple of rounds of dovish ECB speak and issuance expectations in light of shallower-than-expected borrowing estimates from the Treasury helped drive Monday's firming.
29-Jan-24 | 26-Jan-24 | Daily OI Change | OI DV01 Equivalent Change ($) | |
TU | 3,944,084 | 3,965,492 | -21,408 | -801,437 |
FV | 5,940,228 | 5,938,153 | +2,075 | +88,789 |
TY | 4,722,326 | 4,706,846 | +15,480 | +992,877 |
UXY | 2,097,584 | 2,104,806 | -7,222 | -661,078 |
US | 1,429,564 | 1,422,090 | +7,474 | +1,013,412 |
WN | 1,652,280 | 1,659,236 | -6,956 | -1,479,378 |
Total | -10,557 | -846,815 |