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Long Additions IN FV Dominate From A DV01 Perspective On Thursday

US TSYS

Yesterday’s rally saw longs added across the FV, UXY, US & WN futures, based on preliminary open interest data, while TU & TY futures saw shorts covered. The move in FV OI was the largest in a DV01 sense as the belly of the curve continued to react to evolving FOMC/CPI expectations. That allowed a net ~$1.77mn of DV01 to be added across the futures curve on the day, which failed to fully reverse the net DV01 reduction of ~$2.18mn seen on Wednesday.

13-Jul-2312-Jul-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,694,1163,718,653-24,537-926,899
FV5,303,7835,260,181+43,602+1,867,110
TY4,775,9224,786,953-11,031-744,531
UXY1,749,5081,742,594+6,914+658,671
US1,245,6731,243,489+2,184+319,893
WN1,519,7901,517,083+2,707+597,627
Total+19,839+1,771,872
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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