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OI Points to Cover Across Most Futures Packs On Thursday

EURIBOR

The combination of yesterday's twist flattening on the Euribor futures strip and OI data points to the following positioning swings on Thursday:

  • Whites: Long cover across most of the strip, with only what seemed to be a modest round of net short setting in ERU4 breaking the wider theme.
  • Reds: A mix of net short cover (ERM5 & U5) and modest net long setting (ERZ5), with the former dominating in net pack terms. It is hard to be sure when it comes to positioning in ERH5 given its unchanged price status come settlement.
  • Greens: Apparent net short cover across the pack.
  • Blues: An apparent mix of net long setting (ERH7, U7 & Z7) and net short cover (ERM7), the former dominated in net pack terms.
01-Feb-2431-Jan-24Daily OI ChangeDaily OI Change In Packs
ERH4820,904834,156-13,252Whites-12,825
ERM4698,953699,223-270Reds-5,690
ERU4496,965495,747+1,218Greens-3,453
ERZ4430,579431,100-521Blues+1,521
ERH5393,367390,407+2,960
ERM5350,092355,238-5,146
ERU5261,419265,794-4,375
ERZ5280,687279,816+871
ERH6193,547195,610-2,063
ERM6118,285118,613-328
ERU6105,878105,997-119
ERZ698,68099,623-943
ERH772,07370,192+1,881
ERM757,31059,627-2,317
ERU751,40850,067+1,341
ERZ761,41160,795+616
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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