November 06, 2024 11:03 GMT
US TSY FUTURES: Cover Dominated Ahead Of Election
US TSY FUTURES
OI data points to cover dominating during yesterday's twist flattening of the curve, as participants generally lightened up on exposure ahead of the election.
- Short cover in TY presented the only notable move in DV01 equivalent terms.
- Modest net short setting in FV futures the only contract to buck the broader trend.
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05-Nov-24
04-Nov-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,397,535
4,440,827
-43,292
-1,570,743
FV
6,248,163
6,236,241
+11,922
+496,677
TY
4,548,256
4,589,153
-40,897
-2,656,074
UXY
2,180,999
2,186,858
-5,859
-508,064
US
1,832,667
1,834,711
-2,044
-258,632
WN
1,743,340
1,747,135
-3,795
-748,662
Total
-83,965
-5,245,499
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