January 13, 2025 11:46 GMT
US TSY FUTURES: Mix Of Modest Short Setting & Long Cover Seen Friday
US TSY FUTURES
OI data suggests that net short setting in TY futures provided the most notable DV01 equivalent swing during Friday’s sell off, although all of the DV01 equivalent moves were fairly modest.
- A mix of net short setting and long cover was seen across the curve.
|
10-Jan-25
09-Jan-25
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,297,136
4,307,905
-10,769
-411,503
FV
6,156,888
6,175,562
-18,674
-773,522
TY
4,681,497
4,662,169
+19,328
+1,224,051
UXY
2,220,555
2,212,168
+8,387
+720,070
US
1,930,541
1,934,289
-3,748
-455,315
WN
1,782,982
1,778,475
+4,507
+819,539
Total
-969
+1,123,321
Keep reading...Show less
52 words