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OI Suggests Long Setting In TY & WN Futures Dominated On Friday

US TSY FUTURES
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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-2418-Apr-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,011,4494,009,490+1,959+71,302
FV5,942,3435,951,963-9,620-394,775
TY4,470,1064,439,908+30,198+1,904,744
UXY2,059,8602,056,951+2,909+246,700
US1,550,8351,555,354-4,519-562,472
WN1,616,6551,609,207+7,448+1,421,505
Total+28,375+2,687,004
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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-2418-Apr-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU4,011,4494,009,490+1,959+71,302
FV5,942,3435,951,963-9,620-394,775
TY4,470,1064,439,908+30,198+1,904,744
UXY2,059,8602,056,951+2,909+246,700
US1,550,8351,555,354-4,519-562,472
WN1,616,6551,609,207+7,448+1,421,505
Total+28,375+2,687,004