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Free AccessOI Points To Mix Of Long Setting & Short Cover On Thursday
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-24 | 10-Jan-24 | Daily OI Change | Daily OI Change In Packs | ||
ERH4 | 816,400 | 803,933 | +12,467 | Whites | +53,924 |
ERM4 | 656,979 | 634,465 | +22,514 | Reds | -26,128 |
ERU4 | 480,351 | 461,324 | +19,027 | Greens | -198 |
ERZ4 | 437,775 | 437,859 | -84 | Blues | +2,536 |
ERH5 | 386,629 | 399,688 | -13,059 | ||
ERM5 | 333,040 | 346,252 | -13,212 | ||
ERU5 | 238,365 | 240,041 | -1,676 | ||
ERZ5 | 260,951 | 259,132 | +1,819 | ||
ERH6 | 183,670 | 183,072 | +598 | ||
ERM6 | 105,216 | 103,697 | +1,519 | ||
ERU6 | 97,317 | 98,299 | -982 | ||
ERZ6 | 99,580 | 100,913 | -1,333 | ||
ERH7 | 64,753 | 63,531 | +1,222 | ||
ERM7 | 48,447 | 46,540 | +1,907 | ||
ERU7 | 39,496 | 40,864 | -1,368 | ||
ERZ7 | 52,924 | 52,149 | +775 |
To read the full story
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.