June 28, 2024 10:54 GMT
OI Points To Mix Of Long Setting & Short Cover Following Thursday's Data
US TSY FUTURES
Yesterday’s data-driven rally in Tsy futures and preliminary OI data points to a mix of relatively modest net long setting and short cover, with UXY futures showing the largest DV01-adjusted net OI swing.
- Only WN futures saw short cover, with net long setting apparent in all other contracts.
27-Jun-24 | 26-Jun-24 | Daily OI Change | OI DV01 Equivalent Change ($) | |
TU | 4,157,474 | 4,143,784 | +13,690 | +527,341 |
FV | 6,213,856 | 6,199,627 | +14,229 | +602,052 |
TY | 4,348,513 | 4,342,597 | +5,916 | +378,508 |
UXY | 2,062,959 | 2,049,613 | +13,346 | +1,195,195 |
US | 1,649,168 | 1,646,057 | +3,111 | +410,649 |
WN | 1,664,273 | 1,670,421 | -6,148 | -1,251,255 |
Total | +44,144 | +1,862,489 |
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