September 19, 2024 09:50 GMT
US TSY FUTURES: OI Shows Mix Of Short Setting & Long Cover On Fed Day
US TSY FUTURES
OI points to a mix of net short setting and long cover as Tsy futures ultimately finished lower post-FOMC.
- Short setting had a slightly more pronounced impact in curve-wide terms, with the most sizeable DV01 equivalent swings coming in TY & UXY futures.
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18-Sep-24
17-Sep-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,281,491
4,314,135
-32,644
-1,285,989
FV
6,388,127
6,395,881
-7,754
-344,755
TY
4,919,809
4,897,252
+22,557
+1,521,547
UXY
2,141,398
2,111,941
+29,457
+2,766,668
US
1,753,046
1,757,010
-3,964
-556,100
WN
1,714,412
1,711,730
+2,682
+599,284
Total
+10,334
+2,700,655
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