April 22, 2024 10:35 GMT
OI Suggests Long Setting In TY & WN Futures Dominated On Friday
US TSY FUTURES
The combination of Friday’s rally in Tsy futures and preliminary OI data points to a mix of net long setting and short cover as markets digested the Israel-Iran situation ahead of the weekend.
- A reminder that contracts across the curve finished well shy of their Asia-Pac highs, with rhetoric from both Israel and Iran seemingly playing down the odds of further imminent military action in light of the tepid Israeli response to the Iranian-led attack.
- The only notable net OI DV01 equivalent swings came via apparent long setting in TY & WN futures, leaving net curve OI movement titled towards net long setting on the day.
19-Apr-24 | 18-Apr-24 | Daily OI Change | OI DV01 Equivalent Change ($) | |
TU | 4,011,449 | 4,009,490 | +1,959 | +71,302 |
FV | 5,942,343 | 5,951,963 | -9,620 | -394,775 |
TY | 4,470,106 | 4,439,908 | +30,198 | +1,904,744 |
UXY | 2,059,860 | 2,056,951 | +2,909 | +246,700 |
US | 1,550,835 | 1,555,354 | -4,519 | -562,472 |
WN | 1,616,655 | 1,609,207 | +7,448 | +1,421,505 |
Total | +28,375 | +2,687,004 |
147 words