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US TSY FUTURES: Short Setting Dominated On Tuesday
OI data points to net short setting dominating across the curve as Tsy futures settled lower on Tuesday. ~$16.5mln DV01 of fresh net short exposure was set across the curve, with the largest DV01 adjustment coming in US futures.
| 24-Mar-26 | 23-Mar-26 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,897,829 | 4,788,805 | +109,024 | +4,247,725 |
FV | 6,558,181 | 6,522,111 | +36,070 | +1,577,460 |
TY | 5,185,070 | 5,149,245 | +35,825 | +2,358,645 |
UXY | 2,372,815 | 2,365,818 | +6,997 | +626,802 |
US | 1,827,440 | 1,780,838 | +46,602 | +6,265,505 |
WN | 2,238,029 | 2,229,758 | +8,271 | +1,487,334 |
|
| Total | +242,789 | +16,563,472 |
BTP: Block trade
BTP Block trade, suggest seller, could be Supply related although would have expected Delta flow in the shorter end 2yr for the Auction
- IKM6 2.4k at 116.75.
EURIBOR OPTIONS: Latest Large Option trades
- ERM6 97.6875/97.75/97.8125c fly, bought for half in 14k.
- ERZ6 98.12/98.25cs, bought for 0.75 in 10k.
