###POV. Why is Schatz aggregate open....>

BUNDS/CURVE: ###POV. Why is Schatz aggregate open interest so high?

- Last for the Eurex contracts is next Thursday and so there will be frenetic

roll activity over the next few days. At present, there will be investors

deciding whether to roll early and late and also fast money actively playing the

roll if they believe that there is a material mis-pricing.

- Looking at aggregate open interest can give an idea of how important the

latter effect might be and so we have plotted aggregate open interest in this

roll against business days to delivery and also for the prior 3 rolls. See the

link. https://tinyurl.com/y8v4a2vh

- The Schatz contract aggregate open interest stands out, which has accelerated

strongly in the past few days.

- A similar spike effected the EuroBuxl in September and the Bobl in both Mar-17

and Sep-17.

- Note that the Schatz roll has been trending higher to 0.14 cents and further

away from where some FV estimates pinned it a few weeks ago. Rising aggregate OI

could be more bearish bets that are not turning the roll around.