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OI Points To Notable Short Setting On Thursday

US TSY FUTURES

The combination of yesterday’s cheapening & steepening, along with preliminary open interest data, points to the addition of fresh shorts dominating from a net positioning perspective on Thursday, with TY futures providing the only exception to the broader theme, as the contract seemingly saw existing longs cut on net. That left the net DV01 equivalent swing across the futures curve at a sizeable (albeit shy of recent extremes) ~+$7mn. The NFP report provides the key release ahead of the weekend.

03-Aug-2302-Aug-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,679,8053,641,205+38,600+1,408,269
FV5,608,3585,545,386+62,972+2,625,690
TY4,815,9724,817,482-1,510-98,720
UXY1,796,5521,795,761+791+72,372
US1,308,1611,301,309+6,852+942,905
WN1,564,5911,554,649+9,942+2,021,138
Total+117,647+6,971,653
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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