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Trimming Of TY & WN Longs Dominate OI Swings On Friday

US TSY FUTURES

The combination of Friday’s price action and preliminary open interest data reveal a notable net reduction in open interest in DV01 equivalent terms (~$3.59mn across the major Tsy futures contracts) in light of the UoM data (most notably the slight uptick in inflation expectations), with a reduction in longs in TY & WN futures providing the most meaningful contributions to the net figures. Profit taking after the post-CPI richening seen ahead of Friday probably played a part as well, as TU & FV futures also saw longs trimmed, while UXY and US futures saw shorts added.

14-Jul-2313-Jul-23Daily OI ChangeOI DV01 Equivalent Change ($)
TU3,681,2643,693,520-12,256-461,510
FV5,297,6925,303,356-5,664-241,868
TY4,750,7644,775,451-24,687-1,662,008
UXY1,750,7571,749,500+1,257+119,363
US1,246,2981,245,635+663+96,692
WN1,513,2421,519,783-6,541-1,437,970
Total-47,228-3,587,301
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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