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US TSY FUTURES: Long Setting In TY Futures Dominated On Thursday

US TSY FUTURES

Although OI suggests that net cover was apparent in more contracts on Thursday (net long cover in TU, FV & TY & net short cover in US) the largest net positioning impulse (in DV01 equivalent terms) came from net long setting in TY & WN futures, as the addition of ~$4mn DV01 equivalent of fresh TY exposure helped tipped the scale.

 

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Although OI suggests that net cover was apparent in more contracts on Thursday (net long cover in TU, FV & TY & net short cover in US) the largest net positioning impulse (in DV01 equivalent terms) came from net long setting in TY & WN futures, as the addition of ~$4mn DV01 equivalent of fresh TY exposure helped tipped the scale.

 

Keep reading...Show less