MNI Europe Pi (Positioning Indicator): Bank Fears=Short Cover

EXECUTIVE SUMMARY:

• The rising prices and falling short interest seen since March 9 (through March 20) are indicative of short squeezes in European futures positioning.
• The structural signals are inevitably distorted by the large change in OI on March 10th (amid Silicon Valley Bank headlines) which took place only a few sessions after the Eurex quarterly roll period was complete.
• But the general shift has been away from extremes and toward flat positioning.

Full PDF Analysis:

MNIPi21Mar2023-1.pdf

• GERMANY: German contracts are all in structurally flat positioning, vs short in the case of Schatz and Bobl prior to the quarterly roll. Bund and Buxl remain structurally flat, though Bund had been on the cusp of "long" territory as recently as late Feb.
• OAT: Positioning remains flat, where it was pre-quarterly roll, though the contract dipped briefly into short territory on banking sector headlines last week.
• GILT: Long positioning in Gilts has completely dissipated since late February, with much of the reversal toward flat territory occurring on either side of the weekend of Mar 11-12.
• BTP: Structural positioning has shifted into short territory, the only European future in that category in this update, though well off short extremes seen at the start of 2023.