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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-2426-Jun-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,157,4744,143,784+13,690+527,341
FV6,213,8566,199,627+14,229+602,052
TY4,348,5134,342,597+5,916+378,508
UXY2,062,9592,049,613+13,346+1,195,195
US1,649,1681,646,057+3,111+410,649
WN1,664,2731,670,421-6,148-1,251,255
Total+44,144+1,862,489
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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-2426-Jun-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,157,4744,143,784+13,690+527,341
FV6,213,8566,199,627+14,229+602,052
TY4,348,5134,342,597+5,916+378,508
UXY2,062,9592,049,613+13,346+1,195,195
US1,649,1681,646,057+3,111+410,649
WN1,664,2731,670,421-6,148-1,251,255
Total+44,144+1,862,489