September 10, 2024 10:28 GMT
US TSY FUTURES: OI Points To Long Setting Further Out The Curve On Monday
US TSY FUTURES
OI data points to a mix of short setting (TU), long cover (FV) and long setting (TY through WN) on Monday, with the latter dominating in net curve terms.
- While Friday’s NFP report and Fedspeak has reduced odds of a 50bp cut at this month’s FOMC, participants seemingly used Monday’s pre-NY sell off as an opportunity to build fresh longs further out the curve.
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09-Sep-24
06-Sep-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,311,078
4,282,613
+28,465
+1,132,309
FV
6,356,561
6,369,266
-12,705
-566,862
TY
4,731,347
4,678,422
+52,925
+3,575,448
UXY
2,095,926
2,093,715
+2,211
+207,836
US
1,712,280
1,703,696
+8,584
+1,207,276
WN
1,701,371
1,694,734
+6,637
+1,489,463
Total
+86,117
+7,045,471
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