September 16, 2024 10:22 GMT
US TSY FUTURES: Net Long Setting Slightly More Prominent In Friday's Rally
US TSY FUTURES
OI data points to a mix of net long setting and short cover on Friday, as markets reacted to the dovish reports covering this week’s FOMC, courtesy of the WSJ & FT.
- Net long setting provided the dominant positioning factor in curve-wide DV01 equivalent terms, with the most prominent positioning swings coming via fresh longs being set in FV & WN futures.
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13-Sep-24
12-Sep-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,344,842
4,357,270
-12,428
-491,847
FV
6,428,491
6,381,335
+47,156
+2,104,985
TY
4,845,122
4,859,113
-13,991
-947,858
UXY
2,119,193
2,122,848
-3,655
-345,028
US
1,737,312
1,731,384
+5,928
+838,791
WN
1,709,128
1,704,067
+5,061
+1,142,972
Total
+28,071
+2,302,016
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