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MNI Europe Pi (Positioning Indicator): Mixed Into Eurex Roll

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Our latest Europe Pi positioning indicator has just been published and emailed to clients - Full PDF here

  • Structural positioning in European bond futures enters the quarterly (March-June) contract roll mixed, with BTP notably "very long" and long-end Germany "short".
  • The most recent week's trade has been overwhelmingly long reduction, with the OI pullback associated with the roll beginning to pick up yesterday (Feb 28).
  • We will publish our next Pi update in mid-March, at least one week after the last trade date for March Eurex contracts on March 7th.

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