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OI Indicates Mix Of Short Setting & Long Cover In Futures On Friday

EURIBOR

The combination of Friday's move lower in Euribor futures through the blues and OI data point to the following positioning swings ahead of the weekend:

  • Whites: Long cover was seemingly seen in all contracts outside of apparent short setting in ERM4, leaving the former as the dominant net pack positioning factor.
  • Reds: Short setting was seemingly seen across all contracts.
  • Greens: Long cover was seemingly seen in all contracts outside of apparent net short setting in ERU6, leaving the former as the dominant net pack positioning factor.
  • Blues: Some very modest rounds of net short setting and net long cover essentially offset in net pack terms.
  • The apparent net long cover in the whites provided the most meaningful net pack OI swing.
19-Jan-2418-Jan-24Daily OI ChangeDaily OI Change In Packs
ERH4798,749817,546-18,797Whites-17,655
ERM4713,033697,258+15,775Reds+9,705
ERU4473,602481,808-8,206Greens-1,446
ERZ4431,042437,469-6,427Blues-125
ERH5382,841382,836+5
ERM5347,652345,043+2,609
ERU5260,091257,331+2,760
ERZ5276,993272,662+4,331
ERH6184,353184,542-189
ERM6117,466119,754-2,288
ERU695,35894,025+1,333
ERZ6103,615103,917-302
ERH767,68667,073+613
ERM746,15647,031-875
ERU737,30237,349-47
ERZ754,36354,179+184
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
BulletMarketsFixed Income BulletsHomepage
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
BulletMarketsFixed Income BulletsHomepage

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