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MNI Europe Pi: Starting Year Mixed

Bond futures positioning as of early January looks more tilted to the short side compared with the pre-holiday period.

EXECUTIVE SUMMARY:

  • We last updated Europe Pi before the quarterly rolls in late November/early December - at the time, German contracts and OATs were tilting to flat/short, with Gilts and BTP in long territory.
  • Positioning as of early January looks slightly more tilted to the short side since then, though keep in mind that the roll period plus holiday trade may distort the signal somewhat.

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EXECUTIVE SUMMARY:

  • We last updated Europe Pi before the quarterly rolls in late November/early December - at the time, German contracts and OATs were tilting to flat/short, with Gilts and BTP in long territory.
  • Positioning as of early January looks slightly more tilted to the short side since then, though keep in mind that the roll period plus holiday trade may distort the signal somewhat.

Full PDF Analysis:

Keep reading...Show less