September 23, 2024 10:41 GMT
US TSY FUTURES: Mixed Positioning Moves During Waller-Driven Curve Steepening
US TSY FUTURES
OI and Friday’s twist steepening of the futures curve points to a mix of long setting (TU & FV), short cover (TY, UXY & US) and short setting (WN).
- Short cover in US futures provided the largest DV01 equivalent swing.
- A reminder that dovish comments from Fed’s Waller promoted steepening of the curve and pulled futures sway from session lows ahead of the weekend.
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20-Sep-24
19-Sep-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,382,657
4,365,258
+17,399
+682,241
FV
6,410,596
6,392,610
+17,986
+797,356
TY
4,902,690
4,905,740
-3,050
-205,017
UXY
2,126,529
2,133,812
-7,283
-680,892
US
1,745,306
1,761,738
-16,432
-2,287,982
WN
1,703,761
1,701,934
+1,827
+402,023
Total
+10,447
-1,292,271
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