December 23, 2024 11:38 GMT
US TSY FUTURES: Short Cover Seen In Most Contracts On Friday
US TSY FUTURES
OI data suggests net short cover was seen in most contracts during Friday’s rally, with only modest long setting in FV futures breaking the wider trend.
- WN futures saw the only DV01 equivalent positioning swing of note (~$1.8mn).
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20-Dec-24
19-Dec-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,201,990
4,222,691
-20,701
-797,916
FV
6,121,899
6,112,805
+9,094
+385,049
TY
4,445,805
4,453,126
-7,321
-474,730
UXY
2,148,211
2,153,444
-5,233
-461,798
US
1,873,119
1,875,319
-2,200
-277,491
WN
1,761,972
1,771,554
-9,582
-1,832,677
Total
-35,943
-3,459,563
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