October 21, 2024 10:35 GMT
US TSY FUTURES: OI Suggests Mix Of Long Setting & Short Cover Dominated Friday
US TSY FUTURES
OI points to a mix of net long setting (TU, TY & UXY) and short cover (FV, US & WN) during Friday’s rally in Tsy futures, with the former providing the most impetus in net DV01 curve-wide terms.
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18-Oct-24
17-Oct-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,540,716
4,460,886
+79,830
+2,981,218
FV
6,205,205
6,207,551
-2,346
-100,211
TY
4,686,685
4,648,117
+38,568
+2,494,055
UXY
2,146,229
2,145,681
+548
+49,079
US
1,771,871
1,772,314
-443
-58,167
WN
1,734,021
1,739,875
-5,854
-1,190,399
Total
+110,303
+4,175,575
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