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OI Points To Mix Of Long Setting & Short Cover Following PPI

US TSY FUTURES
HomepageBond Market NewsBulletMarketsFixed Income Bullets

Friday’s shallow rally in Tsy futures and OI data points to a mix of net long setting and short cover, with those impulses generally offsetting in net curve DV01 terms.

12-Jul-2411-Jul-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,328,3234,303,542+24,781+942,521
FV6,423,9426,406,039+17,903+759,109
TY4,552,9654,586,211-33,246-2,161,078
UXY2,092,0782,078,339+13,739+1,236,902
US1,671,7191,673,488-1,769-233,921
WN1,677,1271,679,318-2,191-446,009
Total+19,217+97,524
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Friday’s shallow rally in Tsy futures and OI data points to a mix of net long setting and short cover, with those impulses generally offsetting in net curve DV01 terms.

12-Jul-2411-Jul-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,328,3234,303,542+24,781+942,521
FV6,423,9426,406,039+17,903+759,109
TY4,552,9654,586,211-33,246-2,161,078
UXY2,092,0782,078,339+13,739+1,236,902
US1,671,7191,673,488-1,769-233,921
WN1,677,1271,679,318-2,191-446,009
Total+19,217+97,524