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Fresh Longs Seemingly Drive OI Higher On Friday

US TSY FUTURES

The combination of Friday’s uptick in futures prices and preliminary open interest data point to a mixture of short covering and the setting of fresh longs dominating from a net positioning perspective, although the setting of fresh longs was the more dominant factor across the Tsy futures curve. That meant that a net ~$1.8mn of DV01 equivalent open interest was added on the day, which represented a moderation in the daily OI addition after the sizable additions seen on Wednesday & Thursday (which were driven by a mixture of fresh longs and fresh shorts). Note that the addition of net longs on Friday was concentrated in the TU through TY zone, with US & WN futures seeing shorts reduced in net terms.

28-Jul-2327-Jul-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,650,5793,619,938+30,641+1,127,476
FV5,479,9285,460,158+19,770+830,676
TY4,824,3194,809,816+14,503+959,920
UXY1,762,0621,761,084+978+91,219
US1,262,2621,268,746-6,484-924,365
WN1,514,8751,516,234-1,359-291,121
Total+58,049+1,793,806
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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