September 09, 2024 10:47 GMT
US TSY FUTURES: OI Points to Mix Of Short Cover & Long Setting On Friday
US TSY FUTURES
The combination of Friday’s rally and preliminary OI data points to long setting in the wings of the curve (TU & WN), along with net short cover in FV through US futures.
- The latter dominated in net curve terms.
- A reminder that all Tsy contracts finished off highs.
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06-Sep-24
05-Sep-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,285,446
4,261,315
+24,131
+960,874
FV
6,369,895
6,409,649
-39,754
-1,772,015
TY
4,682,164
4,751,921
-69,757
-4,702,639
UXY
2,094,007
2,106,499
-12,492
-1,169,788
US
1,705,351
1,706,919
-1,568
-218,896
WN
1,694,760
1,679,074
+15,686
+3,477,911
Total
-83,754
-3,424,553
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