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EURIBOR: Limited Pack-level Positioning Swings On Tuesday

EURIBOR

OI data points to limited pack-level positioning swings in Euribor futures on Tuesday, with a mix of net long setting and net short cover generally observed.

  • Only three contracts (M5, Z5 and U7) saw a daily OI change of more than 5,000.
  • Z5 has now seen four consecutive sessions of indicative net long setting.
  • Yesterday’s dovish flow in Z5 included: 98.25/98.625cs vs 97.75p, bought the cs for -0.75 in 8k (ref 98.05) and 98.50/98.75cs, bought for 3.5 in 40k total.

 

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OI data points to limited pack-level positioning swings in Euribor futures on Tuesday, with a mix of net long setting and net short cover generally observed.

  • Only three contracts (M5, Z5 and U7) saw a daily OI change of more than 5,000.
  • Z5 has now seen four consecutive sessions of indicative net long setting.
  • Yesterday’s dovish flow in Z5 included: 98.25/98.625cs vs 97.75p, bought the cs for -0.75 in 8k (ref 98.05) and 98.50/98.75cs, bought for 3.5 in 40k total.

 

Keep reading...Show less