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Free AccessLong Reduction Drives OI Swings On Thursday
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-23 | 19-Jul-23 | Daily OI Change | OI DV01 Equivalent Change ($) | |
TU | 3,605,129 | 3,620,285 | -15,156 | -565,016 |
FV | 5,321,162 | 5,333,173 | -12,011 | -509,507 |
TY | 4,739,268 | 4,758,865 | -19,597 | -1,312,411 |
UXY | 1,744,991 | 1,742,912 | +2,079 | +196,757 |
US | 1,255,698 | 1,252,417 | +3,281 | +478,665 |
WN | 1,511,116 | 1,511,038 | +78 | +17,233 |
Total | -41,326 | -1,694,279 |
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.