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Fresh Short Seemingly Setting Drives OI Higher On Thursday

US TSY FUTURES

The combination of yesterday’s cheapening in Tsy futures and preliminary open interest data point to the setting of fresh shorts dominating from a positioning perspective on the Tsy futures curve on Thursday, with domestic data and speculation surrounding a BoJ YCC tweak (which was ultimately realised) providing the driving forces. The exception to the broader trend came via TU & UXY futures, with downticks in OI in those two contracts pointing to existing longs covering on net. A quick reminder that the addition of fresh longs drove a similar uptick in net DV01 equivalent open interest across the futures curve on Wednesday (+$7.7mn on Thursday vs. $8.0mn on Wednesday).

27-Jul-2326-Jul-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,620,7673,653,998-33,231-1,224,984
FV5,460,0955,396,286+63,809+2,684,606
TY4,809,5154,759,306+50,209+3,265,272
UXY1,761,0971,761,337-240-22,412
US1,268,6351,261,957+6,678+952,670
WN1,516,2381,506,535+9,703+2,078,547
Total+96,928+7,733,699
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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