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Short Seemed to Dominate On Tuesday

US TSY FUTURES

The combination of yesterday’s cheapening and preliminary open interest data point to a mix of short setting and long cover across the curve on Tuesday, with short setting dominating in net terms.

  • TY futures saw the biggest DV01 equivalent swing in OI.
26-Sep-2325-Sep-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,903,4783,884,297+19,181+731,006
FV5,579,0235,581,718-2,695-113,400
TY4,768,8924,726,177+42,715+2,747,589
UXY1,860,5171,860,060+457+41,128
US1,405,2271,397,323+7,904+1,072,799
WN1,540,3581,540,535-177-34,388
Total+67,385+4,444,735
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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