October 30, 2024 10:18 GMT
US TSY FUTURES: OI Points To Short Cover & Long Setting On Tuesday
US TSY FUTURES
The combination of yesterday’s rally in Tsy futures and OI points to a mix of net short cover through TY futures and net long setting further out the curve.
- The net long setting seen across UXY, US & WN futures tilted the curve-wide net DV01 equivalent swing that way on the day.
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29-Oct-24
28-Oct-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,525,438
4,537,227
-11,789
-433,749
FV
6,244,622
6,272,791
-28,169
-1,190,217
TY
4,589,858
4,640,279
-50,421
-3,226,232
UXY
2,197,028
2,173,919
+23,109
+2,048,033
US
1,813,488
1,792,744
+20,744
+2,695,463
WN
1,736,872
1,731,341
+5,531
+1,116,144
Total
-40,995
+1,009,441
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