BRAZIL: Flagship Proposal to be Sent This Week, Lula on the Election
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US TSY OPTIONS: Large Apr'26 2Y Call Buyer
- +50,000 TUJ6 105.25 calls, 1.5 ref 104-04.75
EURIBOR: OI Data Suggests Net Short Setting Dominated On Friday
OI data suggests that net short setting dominated in Euribor futures on Friday, though some pockets of long cover were still noted in the H6, M6, U7 and Z8 contracts. Futures settled -1.0 to -11.0 ticks through the blues on Friday, with weakness centred in the reds. The red pack also saw the largest one-day OI adjustment (+28k), concentrated in H7 (+23k).
Across the week as a whole, indicative net short setting was seen in the whites while net long cover was prevalent in the reds, greens and blues. Futures finished the week up to 41.0 ticks lower. Markets now assign a material implied probability of 2x25bp hikes this year, after previously pricing a modest implied chance of another cut.
Daily OI Adjustment On Friday, March 6 (Source: Bloomberg Finance L.P)
| 06/03/2026 | 05/03/2026 | Daily OI Change | Daily OI Change In Packs | ||
| ERH6 | 675,080 | 677,177 | -2,097 | Whites | -17,440 |
| ERM6 | 817,862 | 844,800 | -26,938 | Reds | +27,830 |
| ERU6 | 623,412 | 614,109 | +9,303 | Greens | +6,198 |
| ERZ6 | 709,198 | 706,906 | +2,292 | Blues | +14,696 |
| ERH7 | 445,546 | 422,254 | +23,292 | ||
| ERM7 | 387,479 | 379,721 | +7,758 | ||
| ERU7 | 257,803 | 265,355 | -7,552 | ||
| ERZ7 | 299,634 | 295,302 | +4,332 | ||
| ERH8 | 223,196 | 220,838 | +2,358 | ||
| ERM8 | 176,930 | 172,662 | +4,268 | ||
| ERU8 | 158,008 | 152,494 | +5,514 | ||
| ERZ8 | 156,755 | 162,697 | -5,942 | ||
| ERH9 | 95,172 | 86,018 | +9,154 | ||
| ERM9 | 79,769 | 75,283 | +4,486 | ||
| ERU9 | 65,149 | 64,100 | +1,049 | ||
| ERZ9 | 52,911 | 52,904 | +7 |
Weekly OI Adjustment W/C March 2 (Source: Bloomberg Finance L.P)
| 06/03/2026 | 27/02/2026 | Daily OI Change | Daily OI Change In Packs | ||
| ERH6 | 675,080 | 618,294 | +56,786 | Whites | +53,752 |
| ERM6 | 817,862 | 788,350 | +29,512 | Reds | -119,415 |
| ERU6 | 623,412 | 615,784 | +7,628 | Greens | -100,990 |
| ERZ6 | 709,198 | 749,372 | -40,174 | Blues | -12,373 |
| ERH7 | 445,546 | 400,331 | +45,215 | ||
| ERM7 | 387,479 | 441,010 | -53,531 | ||
| ERU7 | 257,803 | 319,228 | -61,425 | ||
| ERZ7 | 299,634 | 349,308 | -49,674 | ||
| ERH8 | 223,196 | 226,735 | -3,539 | ||
| ERM8 | 176,930 | 200,902 | -23,972 | ||
| ERU8 | 158,008 | 184,965 | -26,957 | ||
| ERZ8 | 156,755 | 203,277 | -46,522 | ||
| ERH9 | 95,172 | 77,352 | +17,820 | ||
| ERM9 | 79,769 | 86,982 | -7,213 | ||
| ERU9 | 65,149 | 72,991 | -7,842 | ||
| ERZ9 | 52,911 | 68,049 | -15,138 |
EGB OPTIONS: Bobl Put Spread seller
OEJ6 117.5/117ps, sold at 36 in 3.6k (ref: 116.44).
