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Gilt Structural Positioning Flat Into Quarterly Roll

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Structural positioning in Gilt futures is "flat" going into the Jun/Sep quarterly roll, per MNI Europe Pi based on open interest data through May 22. The First Notice date for the June contract is May 30.

  • By comparison, most Eurex contracts are in structurally "short" territory, including Bund which is "very short". The most recent week of trade (May 15 to 22) saw mostly short-setting and long reduction across contracts.
  • We will run a full Europe Pi update across contracts next Thursday, as Eurex rolls are anticipated to pick up at end-month ahead of the June 6 first notice/last trade date.


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Structural positioning in Gilt futures is "flat" going into the Jun/Sep quarterly roll, per MNI Europe Pi based on open interest data through May 22. The First Notice date for the June contract is May 30.

  • By comparison, most Eurex contracts are in structurally "short" territory, including Bund which is "very short". The most recent week of trade (May 15 to 22) saw mostly short-setting and long reduction across contracts.
  • We will run a full Europe Pi update across contracts next Thursday, as Eurex rolls are anticipated to pick up at end-month ahead of the June 6 first notice/last trade date.


Keep reading...Show less