OI Points To Long Setting & Short Cover Mix In Futures On Monday As Deeper ECB Cuts Priced

The combination of yesterday's move higher in Euribor futures and OI data points to the following positioning swings on Monday:

• Whites: An apparent mix of net long setting (ERH4 & U4) and short cover (ERM4 & Z4), with the latter dominating in net pack OI terms.
• Reds: An apparent mix of net long setting (ERM5 & Z5) & short cover (ERH5 & U5), which effectively offset when it came to net pack OI.
• Greens: Net long setting was seemingly seen in all contracts outside of ERZ6, with the latter seemingly seeing the most modest round of short cover. Net long setting was dominant in net pack positioning.
• Reds: Net long setting in all contracts outside of some modest short cover in ERM7, with the former dominating when it came to net pack OI.
• A reminder that dovish offerings from ECB Governing council members Villeroy and Centeno, coupled with a alack of meaningful pushback from some of the traditional hawks, allowed market pricing of ECB rate cuts to deepen a little further, with the first 25bp cut fully discounted come the end of the Bank's April '24 meeting as a result (pricing of cuts has moderated a little today).