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Short Setting Seemed to Dominate On Friday

US TSY FUTURES

The combination of yesterday’s bear steepening of the curve and preliminary open interest data point to fresh short setting being the dominant factor from a positioning perspective on Monday. Net DV01 equivalent OI of ~$9.3mn was added across the curve, with the most sizable move coming in FV futures.

25-Sep-2322-Sep-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,885,9763,855,156+30,820+1,166,122
FV5,581,9895,511,439+70,550+2,968,033
TY4,727,4554,724,663+2,792+179,451
UXY1,860,0561,848,157+11,899+1,070,261
US1,397,3471,380,315+17,032+2,201,865
WN1,542,5051,533,749+8,756+1,703,649
Total+141,849+9,289,381
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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