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OI Points To Mix Of Futures Positioning Swings On Tuesday

EURIBOR

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

  • Whites: Net long setting (ERH4 & M4) and net short cover (ERU4), with the former dominating in net pack terms. Hard to be sure when it comes to ERZ4 positioning with prices unchanged at settlement.
  • Reds-Blues: Net long cover seemed to dominate in all 3 packs, with pockets of net short setting also seen.
27-Feb-2426-Feb-24Daily OI ChangeDaily OI Change In Packs
ERH4878,244877,582+662Whites+5,178
ERM4665,245653,526+11,719Reds-6,466
ERU4397,753402,275-4,522Greens-1,471
ERZ4457,579460,260-2,681Blues-1,261
ERH5375,536377,632-2,096
ERM5297,794305,456-7,662
ERU5260,675258,688+1,987
ERZ5304,110302,805+1,305
ERH6198,761198,208+553
ERM6128,523131,159-2,636
ERU6110,864110,079+785
ERZ6103,205103,378-173
ERH771,59871,866-268
ERM751,66952,238-569
ERU747,74847,493+255
ERZ760,80661,485-679
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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