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

EURIBOR

The combination of the move lower across most of the Euribor futures strip and OI data points to the following positioning swings on Tuesday:

  • Whites: Long cover was seemingly seen in most contracts, although short setting was the apparent net positioning driver in ERM4. It is hard to be conclusive when it comes to positioning movement in the ERH4 contract, given its unchanged price status on the day.
  • Reds: Net short setting was seemingly seen in all contracts outside of ERH5, with net short setting dominating in pack terms.
  • Greens: Net short setting was seemingly seen in all contracts outside of ERM6, with net short setting dominating in pack terms.
  • Blues: Net short setting was seemingly seen in all contracts.
23-Jan-2422-Jan-24Daily OI ChangeDaily OI Change In Packs
ERH4791,551795,189-3,638Whites-7,676
ERM4733,193731,758+1,435Reds+4,880
ERU4479,146483,240-4,094Greens+2,623
ERZ4432,133433,512-1,379Blues+9,585
ERH5380,163383,621-3,458
ERM5362,507358,417+4,090
ERU5262,922262,344+578
ERZ5280,288276,618+3,670
ERH6190,274187,945+2,329
ERM6118,556119,406-850
ERU695,57995,031+548
ERZ6106,063105,467+596
ERH769,73769,350+387
ERM754,36551,979+2,386
ERU744,57738,197+6,380
ERZ755,47855,046+432
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
BulletMarketsFixed Income BulletsHomepage
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
BulletMarketsFixed Income BulletsHomepage

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