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

EURIBOR

The cumulative impact of continued ECB pushback against market pricing, UK CPI & U.S retail sales data weighed on the Euribor futures strip on Wednesday. That sell off, coupled with OI data, points to the following positioning swings:

  • Whites: Net long cover was seemingly seen in all contracts.
  • Reds: What looked like net short setting in ERM5, U5 & Z5 comfortably outweighed what seemed to be long cover in ERH5 when it came to the net pack position swing.
  • Greens: Net pack OI was essentially unchanged on the day, with what seemed to be long cover in ERU6 offsetting the apparent net short setting in the remainder of the pack (when it came to net pack OI change).
  • Greens: Very modest net short setting was seemingly seen, with only ERU7 (apparent net long cover) providing an exception to the theme in the pack.
17-Jan-2416-Jan-24Daily OI ChangeDaily OI Change In Packs
ERH4824,923835,983-11,060Whites-28,589
ERM4685,726693,498-7,772Reds+10,590
ERU4481,686490,368-8,682Greens-36
ERZ4442,571443,646-1,075Blues+304
ERH5384,388386,908-2,520
ERM5346,626344,302+2,324
ERU5255,139245,865+9,274
ERZ5270,530269,018+1,512
ERH6181,748180,158+1,590
ERM6115,094112,578+2,516
ERU691,10896,631-5,523
ERZ6101,586100,205+1,381
ERH766,31866,003+315
ERM748,91448,823+91
ERU737,68238,270-588
ERZ754,00753,521+486
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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