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MNI Europe Pi: Flat/Short Into Quarterly Rolls

Going into the quarterly roll, structural positioning across European bond futures contracts is flat/short.
BundesbankCentral Bank NewsCEEMEAEurozoneGermanyMarketsStory

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  • Going into the quarterly roll (March to June), structural positioning across European futures contracts is flat/short.
  • First notice for Gilts is Feb 27, with the roll well underway as of early Monday afternoon; for Eurex it's Mar 6.
  • Last week's trade saw short-setting and long-reduction, with a sharp non-roll related drop in Eurex OI Friday.
  • GERMANY: German contracts have notably moved toward short territory over the past week, as the rolls approach. Schatz has remained flat since our last update on Feb 12, but Bobl and Bund have moved from flat to short, joining Buxl. Notably all three of the latter contracts saw short-setting last week, while Schatz saw long reduction.
  • OAT: OAT has steadily moved away from short to flat positioning since the end of January. Last week's trade was indicative of long reduction.
  • GILT: Gilt structural positioning was flat heading into the roll (our chart only shows positioning up to last Thursday when the roll began in earnest). There were some long reductions pre-roll.
  • BTP: BTP has edged off its usual structural long positioning, returning to flat last week. Longs were reduced in the most recent week of trade.
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  • Going into the quarterly roll (March to June), structural positioning across European futures contracts is flat/short.
  • First notice for Gilts is Feb 27, with the roll well underway as of early Monday afternoon; for Eurex it's Mar 6.
  • Last week's trade saw short-setting and long-reduction, with a sharp non-roll related drop in Eurex OI Friday.
  • GERMANY: German contracts have notably moved toward short territory over the past week, as the rolls approach. Schatz has remained flat since our last update on Feb 12, but Bobl and Bund have moved from flat to short, joining Buxl. Notably all three of the latter contracts saw short-setting last week, while Schatz saw long reduction.
  • OAT: OAT has steadily moved away from short to flat positioning since the end of January. Last week's trade was indicative of long reduction.
  • GILT: Gilt structural positioning was flat heading into the roll (our chart only shows positioning up to last Thursday when the roll began in earnest). There were some long reductions pre-roll.
  • BTP: BTP has edged off its usual structural long positioning, returning to flat last week. Longs were reduced in the most recent week of trade.
image