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US TSY FUTURES: OI Points to Mix Of Short & Long Setting On Thursday

US TSY FUTURES
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

OI points to a mix of net short and long setting across the curve during Thursday's twist flattening.

  • Contracts moved away from session highs as Fed rate cut premium faded in the wake of lower-than-expected weekly initial jobless claims data and firmer-than-expected durable goods readings.
  • The only meaningful net DV01 equivalent swings came in TY (short setting) & US (long setting) futures, with the net curve DV01 equivalent swing <$5mn.
  • The net long setting seen across US & WN futures was slightly more prominent than the net short setting through UXY futures.

 

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OI points to a mix of net short and long setting across the curve during Thursday's twist flattening.

  • Contracts moved away from session highs as Fed rate cut premium faded in the wake of lower-than-expected weekly initial jobless claims data and firmer-than-expected durable goods readings.
  • The only meaningful net DV01 equivalent swings came in TY (short setting) & US (long setting) futures, with the net curve DV01 equivalent swing <$5mn.
  • The net long setting seen across US & WN futures was slightly more prominent than the net short setting through UXY futures.

 

Keep reading...Show less