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Long Cover Seemed To Dominate During Wednesday's Sell Off

US TSY FUTURES

The combination of yesterday's sell off (promoted by UK CPI, U.S. retail sales and ECB speak) and preliminary OI data points to long cover in TU, TY. UXY & WN futures, while FV & US futures appeared to see modest net short setting.

  • TY futures saw the largest swing in DV01 equivalent terms, while the net impact of the previously flagged rounds of long cover comfortably outweighed the more modest rounds of net short setting in net curve terms.
17-Jan-2416-Jan-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,896,3733,900,656-4,283-162,981
FV5,919,3615,913,197+6,164+265,423
TY4,691,1624,740,380-49,218-3,164,863
UXY2,086,1842,094,114-7,930-726,207
US1,442,4461,440,586+1,860+252,006
WN1,674,5231,679,268-4,745-1,003,744
Total-58,152-4,540,367
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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