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OI Points To Mix Of Short Cover & Net Long Setting On Futures Strip On Wednesday

EURIBOR

The move higher in Euribor futures and OI data points to the following positioning swings on Wednesday:

  • Whites: A combination of net long setting (ERH4 & U4) and net short cover (ERM4 & Z4), with the latter dominating in net pack terms.
  • Reds: Apparent net short cover through most of the pack with only some modest net long setting in ERU5 breaking the broader trend. The former dominated in net pack terms.
  • Greens: Apparent net short cover through most of the pack with only some modest net long setting in ERU6 breaking the broader trend. The former dominated in net pack terms.
  • Blues: Apparent net long setting in all contracts save some apparent short cover in ERZ7, with the former dominating in net pack terms.
31-Jan-2430-Jan-24Daily OI ChangeDaily OI Change In Packs
ERH4834,156811,709+22,447Whites-10,239
ERM4699,223725,781-26,558Reds-28,719
ERU4495,747493,274+2,473Greens-2,529
ERZ4431,100439,701-8,601Blues+4,678
ERH5390,407391,437-1,030
ERM5355,238370,053-14,815
ERU5265,794263,951+1,843
ERZ5279,816294,533-14,717
ERH6195,610196,955-1,345
ERM6118,613123,210-4,597
ERU6105,997101,820+4,177
ERZ699,623100,387-764
ERH770,19269,191+1,001
ERM759,62758,979+648
ERU750,06746,224+3,843
ERZ760,79561,609-814
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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