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OI Data Suggests Short Setting Dominated On Thursday

US TSYS

The combination of yesterday’s outright cheapening (driven by the September CPI metrics and the third soft round of Tsy coupon supply this week) and preliminary open interest data point to short setting in TU, UXY, US & WN contracts on Thursday. Meanwhile, FV & TY futures seemingly saw longs cover in net terms.

  • The apparent short setting outweighed the apparent long cover in DV01 equivalent net terms, with a net ~$2mn of DV01 equivalent added across the futures curve on the day.
12-Oct-2311-Oct-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,994,5043,977,510+16,994+636,146
FV5,721,7855,728,694-6,909-287,302
TY4,698,1894,717,056-18,867-1,198,280
UXY1,908,7191,896,806+11,913+1,055,984
US1,378,7941,373,522+5,272+694,176
WN1,551,0861,545,077+6,009+1,130,325
Total+14,412+2,031,050
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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