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CANADIAN JULY GDP 0% VS +0.1% EXPECTED, PRIOR -0.2%

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Fresh Longs & Shorts Push OI Higher On Tuesday

US TSY FUTURES
HomepageBond Market NewsBulletMarketsFixed Income News

The combination of yesterday’s twist flattening of the curve and preliminary open interest data point to the flowing swings in net positioning on the futures curve.

  • Apparent fresh short setting in TU & FV futures.
  • Apparent fresh long setting in TY, UXY & US futures.
  • Apparent short cover in WN futures.
  • That pushed the net DV01 equivalent swing on the curve comfortably above the +$3.5mn mark.
12-Sep-2311-Sep-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,652,8413,639,622+13,219+509,693
FV5,389,8875,379,519+10,368+442,172
TY4,679,7454,649,643+30,102+1,968,389
UXY1,780,1791,773,343+6,836+628,492
US1,337,4501,335,654+1,796+241,265
WN1,527,7371,527,805-68-14,024
Total+62,253+3,775,985
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The combination of yesterday’s twist flattening of the curve and preliminary open interest data point to the flowing swings in net positioning on the futures curve.

  • Apparent fresh short setting in TU & FV futures.
  • Apparent fresh long setting in TY, UXY & US futures.
  • Apparent short cover in WN futures.
  • That pushed the net DV01 equivalent swing on the curve comfortably above the +$3.5mn mark.
12-Sep-2311-Sep-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,652,8413,639,622+13,219+509,693
FV5,389,8875,379,519+10,368+442,172
TY4,679,7454,649,643+30,102+1,968,389
UXY1,780,1791,773,343+6,836+628,492
US1,337,4501,335,654+1,796+241,265
WN1,527,7371,527,805-68-14,024
Total+62,253+3,775,985