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

BONDS
We've just published our latest Europe Pi bond futures positioning update, sent to clients via email and available on PDF.
  • 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.

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