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Notable Round Of Long Setting Post-CPI

US TSY FUTURES

The combination of yesterday’s post-CPI richening and preliminary open interest data point to a sizeable round of fresh net longs being set across the Tsy futures curve (+~$9.5mn in DV01-adjusted terms), with all contracts seemingly seeing fresh longs set.

  • Some residual roll activity will have contributed to the moves in OI, but the attributable moves in OI there would have been very small given the timing within the roll cycle.
13-Sep-2312-Sep-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,685,8003,652,637+33,163+1,278,482
FV5,432,1505,389,398+42,752+1,827,193
TY4,721,8694,678,715+43,154+2,831,369
UXY1,795,7251,780,033+15,692+1,448,871
US1,346,1661,337,447+8,719+1,179,123
WN1,532,1071,527,715+4,392+912,303
Total+147,872+9,477,342
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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