October 11, 2024 10:29 GMT
US TSY FUTURES: OI Suggests Mix Of Positioning Swings During Thursday Twist
US TSY FUTURES
OI points to a mix of net long setting, short setting and long cover during Thursday’s twist steepening on the futures curve, with net short setting across FV, US & WN futures leading in terms of overall net DV01 impact.
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10-Oct-24
09-Oct-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,436,796
4,435,612
+1,184
+44,653
FV
6,279,542
6,240,200
+39,342
+1,688,489
TY
4,739,197
4,761,625
-22,428
-1,456,795
UXY
2,195,296
2,220,081
-24,785
-2,230,644
US
1,777,489
1,768,204
+9,285
+1,228,045
WN
1,710,754
1,701,441
+9,313
+1,942,359
Total
+11,911
+1,216,107
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