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 $10mn of net short DV01 equivalent was added across the curve on Friday.
| 04-Oct-24 | 03-Oct-24 | Daily OI Change | OI DV01 Equivalent Change ($) |
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 |
