October 10, 2024 10:18 GMT
US TSY FUTURES: OI Points To Long Cover In TY Futures On Wednesday
US TSY FUTURES
OI suggests that long cover in TY futures presented the largest DV01-equivalent swing on the curve during Wednesday’s sell off.
- Rounds of net short setting and long cover across the remainder of the curve generally offset in net DV01 terms.
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09-Oct-24
08-Oct-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,435,613
4,440,969
-5,356
-202,883
FV
6,240,200
6,261,504
-21,304
-915,751
TY
4,763,990
4,827,284
-63,294
-4,116,257
UXY
2,220,107
2,205,589
+14,518
+1,309,016
US
1,767,296
1,762,973
+4,323
+574,201
WN
1,701,438
1,706,217
-4,779
-989,415
Total
-75,892
-4,341,088
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