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OI Points To Mix Of Long Setting & Short Cover On Thursday

EURIBOR

The combination of yesterday's uptick across most of the Euribor strip and preliminary OI data points to the following positioning swings on Thursday:

  • Whites: Long setting seemed to dominate, although the unchanged price status of ERH4 at settlement muddies the inference a little. Also note that ERZ4 seemingly saw very minor net short cover (OI was essentially unchanged in that contract).
  • Reds: Short cover seemed to dominate, with a modest round of what seemed to represent long setting in ERZ5 providing the only exception to the wider pack theme.
  • Greens: Rounds of apparent long setting and short cover seemingly offset in net pack OI terms.
  • Blues: Modest long setting seemed to dominate, with only ERU7 breaking the wider theme in the pack.
  • A quick reminder that the well-documented dovish skew in some of the comments made by the usually hawkish ECB Governing Council member Vujcic (at an MNI event) provided the major area of European interest/driver of STIR markets on Thursday.
  • Geopolitical worry also factored into the move.
11-Jan-2410-Jan-24Daily OI ChangeDaily OI Change In Packs
ERH4816,400803,933+12,467Whites+53,924
ERM4656,979634,465+22,514Reds-26,128
ERU4480,351461,324+19,027Greens-198
ERZ4437,775437,859-84Blues+2,536
ERH5386,629399,688-13,059
ERM5333,040346,252-13,212
ERU5238,365240,041-1,676
ERZ5260,951259,132+1,819
ERH6183,670183,072+598
ERM6105,216103,697+1,519
ERU697,31798,299-982
ERZ699,580100,913-1,333
ERH764,75363,531+1,222
ERM748,44746,540+1,907
ERU739,49640,864-1,368
ERZ752,92452,149+775
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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