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US TSY FUTURES: Short Setting In WN Dominated On Monday

US TSY FUTURES

OI points to a mix of net short setting (TU, UXY, US & WN) and long cover (FV & TY) during yesterday’s move lower in Tsy futures.

  • Net short setting in WN futures accounted for all of the net DV01 equivalent positioning movement on the curve, as the net swings in the remaining contracts offset.

 

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OI points to a mix of net short setting (TU, UXY, US & WN) and long cover (FV & TY) during yesterday’s move lower in Tsy futures.

  • Net short setting in WN futures accounted for all of the net DV01 equivalent positioning movement on the curve, as the net swings in the remaining contracts offset.

 

Keep reading...Show less