October 18, 2024 10:31 GMT
US TSY FUTURES: OI Suggests Long Cover In The Belly Dominated After Retail Sales
US TSY FUTURES
OI points to a mix of net short setting and long cover during Thursday’s retail sales-driven sell off, with net long cover in the belly (FV & TY futures) generating the largest OI DV01 equivalent swings.
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17-Oct-24
16-Oct-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,461,214
4,449,189
+12,025
+449,821
FV
6,204,864
6,214,952
-10,088
-431,672
TY
4,648,243
4,694,732
-46,489
-3,013,284
UXY
2,145,681
2,169,836
-24,155
-2,169,727
US
1,772,486
1,770,410
+2,076
+273,907
WN
1,739,875
1,732,941
+6,934
+1,420,234
Total
-59,697
-3,470,720
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