December 16, 2024 11:42 GMT
US TSY FUTURES: Rounds Of Short Setting & Long Cover Generally Offset On Friday
US TSY FUTURES
OI data points to a mix of net short setting and long cover during Friday’s move lower in Tsy futures.
- Net short setting was seen in FV & TY futures, with net long cover elsewhere on the curve.
- The two rounds of positioning swings essentially offset in net DV01 equivalent terms.
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13-Dec-24
12-Dec-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,245,997
4,251,810
-5,813
-226,619
FV
6,062,437
6,042,613
+19,824
+848,401
TY
4,490,779
4,461,757
+29,022
+1,907,794
UXY
2,174,717
2,183,668
-8,951
-802,869
US
1,856,212
1,865,738
-9,526
-1,228,577
WN
1,765,773
1,768,534
-2,761
-544,927
Total
+21,795
-46,798
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