November 15, 2024 11:03 GMT
US TSY FUTURES: Cover In The Wings Seen On Thursday
US TSY FUTURES
OI data points to a mix of net long cover (TU), long setting (FV, TY & UXY) and short cover (US & WN) during Thursday’s twist flattening of the curve, with the cover in the wings providing the biggest impulse to curve-wide positioning in DV01 equivalent terms.
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14-Nov-24
13-Nov-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,539,523
4,544,867
-5,344
-190,531
FV
6,364,472
6,360,533
+3,939
+162,689
TY
4,540,869
4,532,022
+8,847
+572,005
UXY
2,205,013
2,192,225
+12,788
+1,105,647
US
1,857,876
1,865,095
-7,219
-915,055
WN
1,753,031
1,763,421
-10,390
-2,024,597
Total
+2,621
-1,289,842
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