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OI Indicates Short Setting Dominated On Monday

US TSY FUTURES

The combination of Monday’s cheapening and preliminary open interest data point to a mix of short setting and long cover in Tsy futures, although net short setting seemingly dominated.

  • TY futures appeared to be the only contract that saw long cover in net terms, with signs of net short setting across the remainder of the curve.
  • That left the DV01-adjusted net OI swing near the +$2.5mn mark, even though the largest DV01-adjusted OI swing came via the apparent long cover in TY futures.
11-Sep-2308-Sep-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,640,9263,619,225+21,701+838,410
FV5,380,4385,361,815+18,623+796,151
TY4,650,6334,666,870-16,237-1,064,268
UXY1,773,3671,769,149+4,218+388,956
US1,335,6571,328,246+7,411+999,163
WN1,527,8091,525,544+2,265+468,790
Total+37,981+2,427,202
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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