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OI Points To Mix Of Positioning Swings In Futures On Wednesday, Schnabel Comments Dominate

EURIBOR

The mix of Wednesday's light twist steepening on the Euribor futures strip (come settlement) and OI data points to the following positioning swings:

  • Whites: A mix of net long cover (ERM4 & U4) and net short setting (ERH4 & Z4), with the former dominating in net pack terms.
  • Reds: A mix of net long cover (ERM5 & Z5) and net short setting (ERH5 & U5), with the latter dominating in net pack terms.
  • Greens: A light bias towards long cover in net pack terms, with modest rounds of short setting and long cover seen across contracts.
  • Blues: It is hard to make any real inference outside of what seemed to be some modest short cover in ERZ7, given unchanged prices in the remainder of the pack come settlement.
  • Some hawkish words from ECB's Schnabel were seen early on Wednesday, providing the major European focal point when it came to discussions, with offshore matters also a factor.
07-Feb-2406-Feb-24Daily OI ChangeDaily OI Change In Packs
ERH4861,415860,791+624Whites-13,323
ERM4646,444653,013-6,569Reds+4,502
ERU4426,698437,639-10,941Greens-950
ERZ4429,245425,682+3,563Blues+494
ERH5382,079376,264+5,815
ERM5331,414333,892-2,478
ERU5258,230254,193+4,037
ERZ5295,741298,613-2,872
ERH6191,686192,105-419
ERM6121,268121,309-41
ERU6108,190107,576+614
ERZ694,83395,937-1,104
ERH775,79374,056+1,737
ERM754,95755,778-821
ERU747,75547,466+289
ERZ760,22760,938-711
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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