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OI Indicates Mixed Positioning Swings In Futures On Monday

EURIBOR

Yesterday's twist flattening of the Euribor futures strip and OI data points to the following net positioning swings on Monday:

  • Whites: Modest net long cover in ERU4 and modest net short setting in ERZ4. Unchanged prices in ERH4 & M4 made it hard to be sure re: positioning movement in those contracts.
  • Reds: Net long cover in ERH5, net short setting in ERM5 & net long setting In ERZ5. Unsure re: ERU5 given unchanged prices at settlement.
  • Greens: Net long setting was seemingly seen in all contracts.
  • Blues: Net long setting was seemingly seen in most contracts, with the trend only broken by what seem to be net short cover in ERH7
04-Mar-2401-Mar-24Daily OI ChangeDaily OI Change In Packs
ERH4922,185915,455+6,730Whites+13,780
ERM4690,040682,978+7,062Reds-1,476
ERU4419,960422,083-2,123Greens+23,638
ERZ4486,905484,794+2,111Blues+4,122
ERH5362,543365,610-3,067
ERM5284,472279,967+4,505
ERU5251,833256,507-4,674
ERZ5313,718311,958+1,760
ERH6205,346194,978+10,368
ERM6147,670139,691+7,979
ERU6114,516111,470+3,046
ERZ6107,948105,703+2,245
ERH772,10473,139-1,035
ERM766,25462,112+4,142
ERU750,11749,756+361
ERZ760,23659,582+654
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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