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OI Points To A Mix Of Positioning On Futures Strip On Monday

EURIBOR

The mix of Monday's twist flattening on the Euribor futures strip and OI data points to the following positioning swings to start the week:

  • Whites: A mix of long cover (ERH4) and long setting (ERU4 & Z4). It is hard to be sure when it comes to ERM4 positioning given the unchanged price status come settlement. Net pack OI was comfortably higher on the day.
  • Reds-Blues: Apparent net long setting seen through most contracts with only modest rounds of net short cover seen in some of the red and green contracts. Long setting seemed to dominate in net pack OI terms.
22-Jan-2419-Jan-24Daily OI ChangeDaily OI Change In Packs
ERH4795,189798,749-3,560Whites+27,273
ERM4731,758713,033+18,725Reds+13,423
ERU4483,240473,602+9,638Greens+7,057
ERZ4433,512431,042+2,470Blues+9,065
ERH5383,621382,841+780
ERM5358,417347,652+10,765
ERU5262,344260,091+2,253
ERZ5276,618276,993-375
ERH6187,945184,353+3,592
ERM6119,406117,466+1,940
ERU695,03195,358-327
ERZ6105,467103,615+1,852
ERH769,35067,686+1,664
ERM751,97946,156+5,823
ERU738,19737,302+895
ERZ755,04654,363+683
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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