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Long Reduction Drives OI Swings On Thursday

US TSY FUTURES

The combination of preliminary open interest data and Thursday’s price action points to the trimming of longs driving a reduction in net open interest in the TU, FV & TY contracts, while the contracts further out the curve seemingly saw fresh shorts push open interest higher. TY futures saw the most meaningful OI swing in DV01 equivalent terms, by some margin, leaving a net reduction in DV01 in play across the futures curve on the day.

20-Jul-2319-Jul-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,605,1293,620,285-15,156-565,016
FV5,321,1625,333,173-12,011-509,507
TY4,739,2684,758,865-19,597-1,312,411
UXY1,744,9911,742,912+2,079+196,757
US1,255,6981,252,417+3,281+478,665
WN1,511,1161,511,038+78+17,233
Total-41,326-1,694,279
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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