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EURIBOR: Net Long Setting Dominated On Tuesday

EURIBOR

OI data suggests net long setting dominated in Euribor futures on Tuesday, with some pockets of net short cover also seen across the strip.

  • The largest net OI swing was seen in the M5 contract, where ~37k of indicative net longs were added.
  • Notable options flow in M5 yesterday included:
    • ERM5 98.12/98.25cs, bought for half in 6k.
    • ERM5 98.125/98.3125cs, bought for 1 in 29k.
 04/03/202503/03/2025Daily OI Change Daily OI Change In Packs
ERH5539,589537,809+1,780Whites+35,800
ERM5810,021773,004+37,017Reds+1,561
ERU5574,236578,312-4,076Greens +6,054
ERZ5606,392605,313+1,079Blues+1,372
ERH6434,644430,992+3,652  
ERM6339,883335,585+4,298  
ERU6258,203267,402-9,199  
ERZ6345,641342,831+2,810  
ERH7178,807179,200-393  
ERM7145,074146,915-1,841  
ERU7121,997119,235+2,762  
ERZ7129,178123,652+5,526  
ERH863,14958,970+4,179  
ERM846,78346,142+641  
ERU832,98535,713-2,728  
ERZ845,64046,360-720  
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OI data suggests net long setting dominated in Euribor futures on Tuesday, with some pockets of net short cover also seen across the strip.

  • The largest net OI swing was seen in the M5 contract, where ~37k of indicative net longs were added.
  • Notable options flow in M5 yesterday included:
    • ERM5 98.12/98.25cs, bought for half in 6k.
    • ERM5 98.125/98.3125cs, bought for 1 in 29k.
 04/03/202503/03/2025Daily OI Change Daily OI Change In Packs
ERH5539,589537,809+1,780Whites+35,800
ERM5810,021773,004+37,017Reds+1,561
ERU5574,236578,312-4,076Greens +6,054
ERZ5606,392605,313+1,079Blues+1,372
ERH6434,644430,992+3,652  
ERM6339,883335,585+4,298  
ERU6258,203267,402-9,199  
ERZ6345,641342,831+2,810  
ERH7178,807179,200-393  
ERM7145,074146,915-1,841  
ERU7121,997119,235+2,762  
ERZ7129,178123,652+5,526  
ERH863,14958,970+4,179  
ERM846,78346,142+641  
ERU832,98535,713-2,728  
ERZ845,64046,360-720