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OI Points To Mix Of Positioning Swings In Futures Post-ECB

EURIBOR

The combination of yesterday's twist flattening in Euribor futures (come settlement) and preliminary OI data pointed to the following net positioning swings:

  • Whites: A mix of net short setting (ERH4) and net short cover (ERM4 through ERZ4).
  • Reds: Net long setting was seen in most contracts, with some modest net short cover in ERH5.
  • Greens: Net long setting seemed to be seen in all contracts.
  • Blues: A mix of net long setting and short cover
  • Yesterday's ECB decision supported the consensus view that June will see the first cut of the cycle, with such a move fully discounted this morning on the back of subsequent ECB comments.
07-Mar-2406-Mar-24Daily OI ChangeDaily OI Change In Packs
ERH4910,579892,164+18,415Whites-25,791
ERM4670,302692,093-21,791Reds+10,203
ERU4419,124426,784-7,660Greens+11,731
ERZ4470,127484,882-14,755Blues-1,835
ERH5350,402355,894-5,492
ERM5290,599284,014+6,585
ERU5254,318252,762+1,556
ERZ5321,832314,278+7,554
ERH6207,949203,066+4,883
ERM6147,885144,971+2,914
ERU6119,518119,075+443
ERZ6112,342108,851+3,491
ERH772,62172,187+434
ERM763,18361,216+1,967
ERU748,07349,710-1,637
ERZ758,29960,898-2,599
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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