December 10, 2024 11:14 GMT
US TSY FUTURES: OI Points To Long Cover Further Out The Curve On Monday
US TSY FUTURES
OI points to a mix of net short setting (TU & FV) and long cover (TY, UXY, US & WN) during Monday’s weakness.
- The long cover seen further out the curve provided the most notable positioning move (in DV01 equivalent terms) on the day, coming after long setting was seen across the curve on Friday.
- Note that DV01 equivalent positioning swings in individual contracts were relatively modest.
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09-Dec-24
06-Dec-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,321,254
4,309,642
+11,612
+457,339
FV
6,023,603
6,018,775
+4,828
+208,737
TY
4,455,901
4,465,339
-9,438
-622,251
UXY
2,204,892
2,215,977
-11,085
-1,010,930
US
1,848,167
1,853,737
-5,570
-739,193
WN
1,764,041
1,769,207
-5,166
-1,064,187
Total
-14,819
-2,770,486
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