December 04, 2024 10:54 GMT
US TSY FUTURES: Mix Of Positioning Swings Seen During Tuesday's Twist Steepening
US TSY FUTURES
OI data points to a mix of long setting (TU), long cover (FV & UXY) and short setting (TY, US & WN) as the curve twist steepened on Tuesday.
- The most notable DV01 equivalent net positioning swings came in TU & FV futures, with more limited swings seen further out the curve.
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03-Dec-24
02-Dec-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,283,723
4,217,266
+66,457
+2,634,522
FV
6,032,409
6,076,570
-44,161
-1,911,221
TY
4,497,385
4,482,644
+14,741
+980,809
UXY
2,158,738
2,161,289
-2,551
-232,091
US
1,844,833
1,841,984
+2,849
+376,893
WN
1,741,231
1,739,163
+2,068
+423,932
Total
+39,403
+2,272,845
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