November 08, 2024 11:07 GMT
US TSY FUTURES: OI Points To Mix Of Short Cover & Long Setting In Thursday Rally
US TSY FUTURES
OI data points to a mix of net short cover and long setting as Tsy futures unwound some of the election-driven weakness on Thursday.
- Net short cover provided slightly greater impact in curve-wide DV01 equivalent terms.
- A reminder that net short setting dominated in most contracts as Wednesday, as markets eyed potential fallout from Trump’s preferred policy choices.
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07-Nov-24
06-Nov-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,461,373
4,429,440
+31,933
+1,157,259
FV
6,317,988
6,329,962
-11,974
-498,782
TY
4,565,720
4,591,198
-25,478
-1,655,336
UXY
2,194,326
2,192,463
+1,863
+161,542
US
1,843,342
1,861,443
-18,101
-2,289,636
WN
1,740,645
1,733,286
+7,359
+1,428,668
Total
-14,398
-1,696,283
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