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OI Points To Notable Short Setting Across The Curve On Tuesday

US TSY FUTURES
The combination of yesterday’s cheapening in Tsy futures and preliminary open interest data points to a fairly sizeable round of net short setting across the curve (~$7.4mn in DV01 equivalent terms), with net short setting seemingly observed across all of the major contracts.
  • Apparent short setting in TY futures presented the largest DV01 equivalent net OI swing.
  • EGB gyrations surrounding heavy EUR IG supply and a well-received 3-Year Tsy auction provided the most meaningful driving factors on Tuesday.
09-Jan-2408-Jan-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,781,4733,753,467+28,006+1,076,640
FV5,799,0435,785,040+14,003+607,033
TY4,651,3414,612,628+38,713+2,508,865
UXY2,098,5922,087,845+10,747+993,774
US1,452,4611,438,575+13,886+1,916,546
WN1,678,2241,676,803+1,421+309,992
Total+106,776+7,412,850
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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