January 09, 2025 10:53 GMT
US TSY FUTURES: Short Setting In The Long End Dominated On Wednesday
US TSY FUTURES
OI data suggests that short setting in the long end dominated on Wednesday, with TY through WN subjected to net short setting.
- Further forward, TU futures saw fresh net longs set and FV saw modest net short cover, but DV01 equivalent swings were much smaller than what was seen further out the curve (in cumulative terms).
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08-Jan-25
07-Jan-25
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,297,407
4,275,342
+22,065
+850,457
FV
6,175,444
6,177,901
-2,457
-102,786
TY
4,693,523
4,640,732
+52,791
+3,380,731
UXY
2,204,903
2,203,499
+1,404
+121,927
US
1,936,355
1,925,928
+10,427
+1,282,141
WN
1,777,591
1,773,457
+4,134
+758,922
Total
+88,364
+6,291,391
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