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US TSY FUTURES: OI Points To Net Short Setting In Long End On Wednesday

US TSY FUTURES
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

OI points to a mix of net short setting and long cover during Wednesday’s sell off in Tsy futures, although the moves in net DV01 equivalents remained fairly limited.

  • The biggest DV01 equivalent swing came via net short setting in US futures, which was enough to tip the net curve DV01 equivalent swing that way.
  • Note that participants were seemingly net short setters in WN futures as well, with OI data pointing to a bias towards selling in the long end.

 

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OI points to a mix of net short setting and long cover during Wednesday’s sell off in Tsy futures, although the moves in net DV01 equivalents remained fairly limited.

  • The biggest DV01 equivalent swing came via net short setting in US futures, which was enough to tip the net curve DV01 equivalent swing that way.
  • Note that participants were seemingly net short setters in WN futures as well, with OI data pointing to a bias towards selling in the long end.

 

Keep reading...Show less