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OI Points To Sizeable Net Short Setting On Wednesday

US TSY FUTURES

Yesterday’s CPI & 10-Year auction-driven sell off, along with preliminary OI data, points to a sizeable addition of net shorts across the curve.

  • ~$15mn of DV01 equivalent exposure was added across the major contracts, with the most notable adjustment coming in TY futures.
  • This builds on the already net short positioning across the curve (some of which will be attributable to basis trade positions).
10-Apr-2409-Apr-24Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,928,6703,859,526+69,144+2,555,759
FV6,096,8536,070,377+26,476+1,097,194
TY4,447,7254,360,627+87,098+5,551,390
UXY2,071,1722,041,693+29,479+2,531,522
US1,543,4541,526,617+16,837+2,134,593
WN1,609,9371,602,711+7,226+1,417,055
Total+236,260+15,287,514
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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