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OI Suggests Long Setting In Futures Dominated Into Weekend

EURIBOR

The mix of Friday's firming on the Euribor strip and OI data points to long setting as the major positioning factor seen across the strip into the weekend.

  • In pack terms, the whites, reds and blues seemingly saw net long setting, with the most sizeable net pack OI swing coming in the whites. pockets of short cover were seen in those packs.
  • The largest round of net long setting in contract terms seemingly came in ERZ4 futures.
  • Elsewhere, positioning in the greens was essentially little changed in net OI terms, with a modest bias towards short cover.
  • Feedthrough from the softer-than-expected U.S. PPI data and subsequent Fed repricing dominated ahead of the weekend.
12-Jan-2411-Jan-24Daily OI ChangeDaily OI Change In Packs
ERH4815,302816,400-1,098Whites+20,097
ERM4648,553656,979-8,426Reds+3,445
ERU4489,921480,351+9,570Greens-542
ERZ4457,826437,775+20,051Blues+3,010
ERH5385,698386,629-931
ERM5335,246333,040+2,206
ERU5237,520238,365-845
ERZ5263,966260,951+3,015
ERH6183,123183,670-547
ERM6105,380105,216+164
ERU696,12497,317-1,193
ERZ6100,61499,580+1,034
ERH766,45364,753+1,700
ERM749,04848,447+601
ERU738,32039,496-1,176
ERZ754,80952,924+1,885
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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