November 04, 2024 11:30 GMT
US TSY FUTURES: OI Points To Mix Of Short Setting & Long Cover On Friday
US TSY FUTURES
OI points to a mix of net short setting and long cover that generally offset (in net DV01 terms) during Friday's sell off.
- Set up ahead of this week's event risk was cited as the driver of the reversal of the initial NFP-driven gains.
- Further swap spread tightening was seen.
|
01-Nov-24
31-Oct-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,425,116
4,497,660
-72,544
-2,645,632
FV
6,220,157
6,188,466
+31,691
+1,329,448
TY
4,582,826
4,552,678
+30,148
+1,940,564
UXY
2,195,745
2,200,263
-4,518
-397,375
US
1,833,697
1,833,773
-76
-9,815
WN
1,727,796
1,725,899
+1,897
+380,926
Total
-13,402
+598,116
Keep reading...Show less
56 words