October 07, 2024 10:44 GMT
US TSY FUTURES: Short Setting Dominated During NFP-Driven Sell Off
US TSY FUTURES
OI points to net short-setting dominating in most contracts during Friday’s NFP-driven sell off.
- The only exception came via apparent long cover in FV futures.
- Nearly $10mn of net short DV01 equivalent was added across the curve on Friday.
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04-Oct-24
03-Oct-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,493,282
4,444,021
+49,261
+1,875,416
FV
6,296,373
6,332,241
-35,868
-1,548,883
TY
4,903,749
4,857,685
+46,064
+3,015,017
UXY
2,202,472
2,163,115
+39,357
+3,578,749
US
1,765,796
1,745,589
+20,207
+2,719,789
WN
1,717,127
1,716,462
+665
+142,376
Total
+119,686
+9,782,464
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