October 02, 2024 10:01 GMT
US TSY FUTURES: Long Setting In Intermediates Seen On Tuesday
US TSY FUTURES
OI points to a mix of long setting and short cover during yesterday’s rally, with the only notable positioning swings coming via long setting in the intermediate area of the curve (TY & UXY).
- Net OI swings elsewhere roughly offset in DV01 equivalent terms.
- Spill over from a rally in EGBs and heightened geopolitical risk premium drove the bid on Tuesday.
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01-Oct-24
30-Sep-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,466,955
4,461,424
+5,531
+213,848
FV
6,381,507
6,389,182
-7,675
-337,712
TY
4,969,590
4,951,577
+18,013
+1,204,702
UXY
2,146,354
2,128,810
+17,544
+1,633,055
US
1,752,009
1,746,926
+5,083
+704,299
WN
1,717,036
1,721,281
-4,245
-929,250
Total
+34,251
+2,488,942
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