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OI Points To Mix Of Positioning Swings On Futures Strip On Wednesday

EURIBOR

The mixture of yesterday's price action in Euribor futures and OI data points to the following positioning swings on Wednesday:

  • Whites: Net long cover in ERH4 and net short cover in ERU4. It is hard to be certain when it comes to ERM4 & ERZ4 given their unchanged price status come settlement.
  • Reds: An apparent mix of net short setting (ERH5 & U5) and net long cover (ERM5 & Z5).
  • Greens: Net short setting in ERH6 through ERU6. It is harder to provide inference re: ERZ6 given the unchanged price status come settlement.
  • Blues: Apparent net long setting in ERU7 & Z7. We can't make any real inference re: ERH7 & M7, although net OI swings were modest there.
  • A quick reminder that a mixture of the weakness in Gilts & U.S. Tsys (on UK & U.S. flash S&P Global PMI data), coupled with a push higher in TTF gas prices, helped Euribor futures lower after the initial European preliminary PMI-induced moves..
24-Jan-2423-Jan-24Daily OI ChangeDaily OI Change In Packs
ERH4790,416791,551-1,135Whites+19,285
ERM4748,093733,193+14,900Reds+2,898
ERU4473,118479,146-6,028Greens+3,233
ERZ4443,681432,133+11,548Blues+5,170
ERH5384,362380,163+4,199
ERM5360,934362,507-1,573
ERU5263,411262,922+489
ERZ5280,071280,288-217
ERH6191,195190,274+921
ERM6119,567118,556+1,011
ERU697,67995,579+2,100
ERZ6105,264106,063-799
ERH770,60169,737+864
ERM755,21154,365+846
ERU745,17444,577+597
ERZ758,34155,478+2,863
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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