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Marginal Swing In Net OI On Wednesday

US TSY FUTURES

The combination of Wednesday’s price action and preliminary open interest data point to a general theme of long additions & short cover in Tsy futures, although the fact that TU futures were unchanged in price terms on the day (come settlement) means that we are less certain about intraday positioning dynamics in that contract. Note that the net DV01 equivalent OI swings across the curve was very modest, with the largest swings coming in TU & TY futures. The OI swings in those contracts were in opposite directions and roughly netted out in DV01 terms.


19-Jul-2318-Jul-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,620,2953,654,770-34,475-1,291,778
FV5,332,8235,333,681-858-36,585
TY4,759,5814,740,155+19,426+1,284,447
UXY1,743,2761,743,816-540-51,440
US1,252,5481,247,719+4,829+710,442
WN1,511,0951,513,717-2,622-584,470
Total-14,240+30,616
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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