January 07, 2025 11:42 GMT
US TSY FUTURES: Short Setting Most Prominent On Monday
US TSY FUTURES
OI data points to a mix of net long setting (TU), short setting (TY, UXY & WN) & long cover (FV & US) during yesterday’s twist steepening of the futures curve.
- Net exposure was added in curve-wide DV01 equivalent terms, with the biggest net DV01 equivalent positioning swing coming via net short setting in UXY futures.
|
06-Jan-25
03-Jan-25
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,315,149
4,303,841
+11,308
+437,114
FV
6,175,803
6,181,267
-5,464
-229,048
TY
4,574,904
4,559,292
+15,612
+1,002,721
UXY
2,204,157
2,183,892
+20,265
+1,765,803
US
1,919,525
1,923,103
-3,578
-443,132
WN
1,771,847
1,769,524
+2,323
+431,137
Total
+40,466
+2,964,594
Keep reading...Show less
63 words