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

EURIBOR

The combination of yesterday’s move lower in Euribor futures and OI data points to the following net positioning swings:

  • Whites: Little change in net pack OI as apparent rounds of short setting and long cover offset
  • Reds: Net short setting seemed to dominate.
  • Greens: Net short setting seemed to dominate.
  • Blues: Net long cover seemed to dominate.
  • Contract-specific net OI swings were relatively limited.
  • Feedthrough from the U.S. CPI data was the dominant factor on the day.
12-Mar-2411-Mar-24Daily OI ChangeDaily OI Change In Packs
ERH4912,863910,542+2,321Whites+19
ERM4670,430670,584-154Reds+8,550
ERU4422,353427,799-5,446Greens+6,932
ERZ4478,070474,772+3,298Blues-4,790
ERH5360,100356,307+3,793
ERM5294,137290,605+3,532
ERU5257,045257,251-206
ERZ5319,674318,243+1,431
ERH6218,481216,038+2,443
ERM6159,065154,110+4,955
ERU6118,732119,704-972
ERZ6114,981114,475+506
ERH775,55976,087-528
ERM760,80961,550-741
ERU745,77447,327-1,553
ERZ758,39060,358-1,968
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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