Free Trial

Longs Added & Shorts Trimmed Post-CPI, Largest Net DV01 Reduction In Over 1 Month

US TSY FUTURES

Yesterday’s preliminary open interest data points to fresh longs being added in TU, FV and UXY contracts, while short trimming in TY, US & WN futures was seen, as softer than expected CPI data dominated price action. The heavier DV01 in the longer end of the curve resulted in a net DV01 equivalent reduction of ~$2.18mn across the major Tsy futures contracts, with desks flagging this as the largest decline since June 8, which came on the back of a surge in weekly initial jobless claims data.

12-Jul-2311-Jul-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,718,9693,678,542+40,427+1,534,403
FV5,260,3325,257,868+2,464+105,722
TY4,790,3484,797,130-6,782-449,395
UXY1,742,6011,741,154+1,447+137,643
US1,243,4351,251,474-8,039-1,171,056
WN1,516,7271,527,374-10,647-2,337,432
Total+18,870-2,180,115
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

To read the full story

Close

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.