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Short Setting Seemed To Dominate On Thursday

US TSY FUTURES

The combination of yesterday’s cheapening and preliminary open interest data points to short setting as the dominant net positioning factor on the Tsy futures curve on Thursday.

  • A relatively sizable net ~$8.4mn of DVO1 equivalent OI was added across the curve, with TU leading the swing.
  • WN futures were seemingly the only contract that saw longs cover in net terms.
21-Sep-2320-Sep-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,877,2883,806,319+70,969+2,691,144
FV5,526,8865,508,879+18,007+757,694
TY4,753,3744,726,628+26,746+1,721,829
UXY1,846,0581,824,682+21,376+1,929,359
US1,382,9321,371,462+11,470+1,496,320
WN1,534,8181,535,969-1,151-227,644
Total+147,417+8,368,702
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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