September 13, 2024 10:33 GMT
US TSY FUTURES: OI Points to Mix Of Short Setting & Long Cover On Thursday
US TSY FUTURES
OI data points to a mix of short setting and long cover as Tsy futures settled lower on Thursday, with those positioning swings roughly offsetting in curve-wide DV01 terms
- We have seen a recovery rally since then, which may have included short cover from some shorter-term accounts.
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12-Sep-24
11-Sep-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,357,485
4,369,944
-12,459
-493,618
FV
6,381,653
6,377,827
+3,826
+170,959
TY
4,858,825
4,798,317
+60,508
+4,103,550
UXY
2,122,984
2,125,962
-2,978
-281,528
US
1,731,749
1,731,636
+113
+16,022
WN
1,704,070
1,719,706
-15,636
-3,541,652
Total
+33,374
-26,267
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