January 14, 2025 11:46 GMT
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.
|
13-Jan-25
10-Jan-25
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,309,879
4,296,021
+13,858
+529,282
FV
6,134,293
6,154,065
-19,772
-819,298
TY
4,660,490
4,677,693
-17,203
-1,090,129
UXY
2,225,372
2,220,460
+4,912
+421,706
US
1,937,239
1,929,471
+7,768
+941,969
WN
1,796,756
1,782,817
+13,939
+2,526,574
Total
+3,502
+2,510,105
Keep reading...Show less
62 words