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OI Points To Mix Of Short Setting & Long Cover In Futures On Friday

EURIBOR

The mix of Friday's weakness in Euribor futures and OI data points to the following positioning swings:

  • Whites: Apparent long cover in all contracts outside of what seemed to be short setting in ERH4. The former dominated in net pack OI terms.
  • Reds: A mix of short setting (ERM5 & Z5) and long cover (ERH5 & U5), with the former dominating in net pack terms.
  • Greens: Net short setting in all contracts outside of very modest long cover in ERU6. The former dominated in net pack terms.
  • Blues: Net long cover in all contracts outside of short setting in in ERZ7. The former dominated in net pack terms.
  • The U.S. labour market report provided the major input on Friday.
02-Feb-2401-Feb-24Daily OI ChangeDaily OI Change In Packs
ERH4840,209820,904+19,305Whites-72,361
ERM4653,270698,953-45,683Reds+9,116
ERU4453,743496,965-43,222Greens+6,035
ERZ4427,818430,579-2,761Blues-3,384
ERH5391,078393,367-2,289
ERM5351,711350,092+1,619
ERU5259,151261,419-2,268
ERZ5292,741280,687+12,054
ERH6193,772193,547+225
ERM6121,263118,285+2,978
ERU6105,680105,878-198
ERZ6101,71098,680+3,030
ERH771,97372,073-100
ERM757,20757,310-103
ERU746,56551,408-4,843
ERZ763,07361,411+1,662
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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