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Addition Of Fresh Shorts Dominated On Tuesday

US TSY FUTURES

Yesterday’s cheapening across the futures curve and preliminary open interest data point to a combination of net short covering/long trimming across the major futures contracts, with the addition of fresh shorts far outstripping the impact of long trimming. That left the DV01 equivalent net interest OI swing above +$2mn on the day. FV futures provided the most notable OI swing in DV01 equivalent terms.

25-Jul-2324-Jul-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,631,4513,622,752+8,699+322,459
FV5,343,3565,320,021+23,335+985,582
TY4,722,4164,715,999+6,417+427,908
UXY1,753,3021,753,510-208-19,605
US1,253,4531,247,577+5,876+852,728
WN1,506,5091,508,267-1,758-385,359
Total+42,361+2,183,713
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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