October 01, 2024 10:39 GMT
US TSY FUTURES: OI Points To Mix Of Long Cover & Short Setting On Monday
US TSY FUTURES
Yesterday’s move lower in Tsy futures and preliminary OI data points to a mix of long cover and short setting.
- Long cover was slightly more prominent in curve-wide DV01 equivalent terms, although that was solely driven by TY futures, with offsetting net positioning swings seen across the remainder of the curve.
- Fed Chair Powell’s late NY comments weighed, before month-end extension flow pulled contracts away from session lows.
- Signs of quarter-end repo tension seemed to generate contained vol. in Tsys during early NY trade.
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30-Sep-24
27-Sep-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,462,979
4,449,869
+13,110
+507,704
FV
6,389,385
6,379,720
+9,665
+425,704
TY
4,956,415
4,996,436
-40,021
-2,679,399
UXY
2,128,960
2,128,240
+720
+67,130
US
1,749,318
1,751,084
-1,766
-245,789
WN
1,721,351
1,724,056
-2,705
-596,641
Total
-20,997
-2,521,291
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