October 14, 2024 09:46 GMT
US TSY FUTURES: OI Points To Net Long Setting Across Much Of Curve On Friday
US TSY FUTURES
OI suggests modest net long setting was seen across much of the futures curve on Friday, with the only exception coming via apparent short cover in FV futures.
- Overall net DV01 equivalent movement on the curve was fairly limited (sub-$2.5mn).
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11-Oct-24
10-Oct-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,452,272
4,436,749
+15,523
+585,750
FV
6,249,042
6,279,992
-30,950
-1,329,160
TY
4,750,836
4,739,316
+11,520
+748,273
UXY
2,197,043
2,195,288
+1,755
+157,806
US
1,779,839
1,777,261
+2,578
+340,520
WN
1,719,889
1,710,626
+9,263
+1,892,624
Total
+9,689
+2,395,814
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