December 06, 2024 11:39 GMT
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 ~$4mn DV01 equivalent of fresh TY exposure helped tipped the scale.
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05-Dec-24
04-Dec-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,319,207
4,333,413
-14,206
-560,447
FV
5,970,811
6,020,690
-49,879
-2,157,298
TY
4,463,353
4,487,469
-24,116
-1,591,942
UXY
2,189,530
2,145,215
+44,315
+4,054,010
US
1,848,468
1,850,195
-1,727
-231,348
WN
1,761,898
1,757,779
+4,119
+862,933
Total
-41,494
+375,909
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