December 09, 2024 11:19 GMT
US TSY FUTURES: Long Setting Dominated After NFPs
US TSY FUTURES
OI data points to net long setting across the curve in reaction to Friday’s NFP print, with the largest net DV01 equivalent positioning swings coming in UXY, FV & WN futures.
- Adjustments elsewhere were more modest, suggesting that short cover provided a bit more of an offset in TU, TY & US futures.
|
06-Dec-24
05-Dec-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,313,988
4,313,117
+871
+34,368
FV
6,019,575
5,975,692
+43,883
+1,901,734
TY
4,463,366
4,463,120
+246
+16,445
UXY
2,219,147
2,187,606
+31,541
+2,889,644
US
1,852,861
1,848,750
+4,111
+549,894
WN
1,769,306
1,761,836
+7,470
+1,556,939
Total
+88,122
+6,949,024
Keep reading...Show less
60 words