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As we head into the Jun-Sep roll for Eurex futures (1st notice on Jun 8; Gilt futures already done), we find that most structural positioning is in short territory. This is particularly pronounced in OAT and BTP, though we've also seen short cover throughout the space in the past week.
FOR FULL PDF ANALYSIS
- GERMANY: As has been the case for most of the quarter, German contracts are largely in short territory: this applies to Schatz, Bobl, and Bund. Each saw short cover in the past week. The exception to this as per the recent norm is Buxl for which structural positioning is flat, with longs set in the past week.
- OAT: Positioning has moved from flat to very short as the roll period approaches. Last week saw some short cover.
- GILT: Structural positioning is flat, but we caution against reading too much into this at this point with the roll period impacting open interest.
- BTP: Like OAT, BTPs have moved from flat (where they've spent most of the year) to short ahead of the roll. We saw short cover last week.
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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