December 13, 2024 10:55 GMT
US TSY FUTURES: Positioning Swings In The Wings Most Notable On Thursday
US TSY FUTURES
OI points to a mixture of long cover (TU) and short setting (US & WN) in the wings during Thursday’s sell off, while positioning adjustments in the belly/intermediates were more modest (in DV01 equivalent terms).
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12-Dec-24
11-Dec-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,252,167
4,284,204
-32,037
-1,251,455
FV
6,042,692
6,034,102
+8,590
+368,561
TY
4,462,300
4,471,665
-9,365
-617,867
UXY
2,183,566
2,188,022
-4,456
-401,539
US
1,865,532
1,843,594
+21,938
+2,854,051
WN
1,768,634
1,763,030
+5,604
+1,117,133
Total
-9,726
+2,068,884
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