November 11, 2024 11:41 GMT
US TSY FUTURES: OI Shows Exposure Building In Most Contracts On Friday
US TSY FUTURES
OI points to a mix of net short setting (TU & FV), long setting (TY, UXY & WN) and short cover (US) during Friday’s twist flattening of the curve.
- The establishment of fresh positions in the wings (TU & WN) dominated from a net DV01 equivalent perspective.
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08-Nov-24
07-Nov-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,521,836
4,460,360
+61,476
+2,214,360
FV
6,336,419
6,315,224
+21,195
+882,850
TY
4,580,073
4,565,508
+14,565
+920,256
UXY
2,205,897
2,195,213
+10,684
+935,730
US
1,833,572
1,842,472
-8,900
-1,147,252
WN
1,753,373
1,740,207
+13,166
+2,640,623
Total
+112,186
+6,446,567
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