OI Flags Low Conviction In Euribor Futures On Monday, Long Setting Prevailed In SONIA Futures

The combination of yesterday’s OI movements & uptick in both Euribor and SONIA futures pointed to the following net positioning swings:

• A mix of net long setting and short cover through the Euribor blues, with short cover dominating in the whites and long setting dominating in the reds, although conviction was relatively limited when me look at absolute net OI movement. Net OI was little changed in the greens & the blues.
• Feedthrough from BoE Deputy Governor Ramsden’s dovish Friday address promoted the rally in SONIA futures, resulting in net long setting providing the dominant positioning factor through the greens (pockets of net short cover were seen in that area of the strip). Meanwhile, net pack OI was little changed in the blues.