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OI Points To Mix Of Long Setting & Short Cover In Futures On Friday

EURIBOR

Friday's uptick on the Euribor futures strip and OI data points to the following mix of positioning swings ahead of the weekend.

  • Whites: Net long setting was seemingly seen across all contracts.
  • Reds: Net short cover was seemingly seen across all contracts.
  • Greens: An apparent mix of net long setting and net short cover, with the former dominating.
  • Blues: An apparent mix of net long setting and net short cover, with the latter dominating.
  • Most of the ECB speak seen on Friday continued to point to the need for patience when it came to rate cuts.
  • Market pricing has stabilised around ~100bp of cuts during '24.
  • That is the upper end of the Governing Council's range of preferences re: '24 cuts, per our most recent sources piece.
23-Feb-2422-Feb-24Daily OI ChangeDaily OI Change In Packs
ERH4876,978873,059+3,919Whites+31,403
ERM4654,574645,060+9,514Reds-18,654
ERU4405,440397,666+7,774Greens+1,518
ERZ4454,232444,036+10,196Blues-2,157
ERH5375,923377,042-1,119
ERM5303,557312,642-9,085
ERU5251,757252,866-1,109
ERZ5305,799313,140-7,341
ERH6195,826194,166+1,660
ERM6131,325130,000+1,325
ERU6107,941108,881-940
ERZ6105,659106,186-527
ERH772,11375,064-2,951
ERM751,38950,143+1,246
ERU747,34246,376+966
ERZ761,43962,857-1,418
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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