MNI Europe Pi (Positioning Indicator): OAT/BTP Pre-Roll Longs
May-26 13:58By: Tim Cooper
EXECUTIVE SUMMARY:
- In our final Europe Pi update before the quarterly Jun>Sep Eurex futures roll, we note mixed structural positioning across contracts.
- Most German contracts are flat, with OAT/BTP long. First notice for Eurex contracts is on June 8.
- For Gilts it's May 30 - as usual we disregard the structural reading in this contract as the roll is well underway, distorting the reading from Open Interest data.
Full PDF Analysis:
- GERMANY: Schatz, Bobl, and Bund structural positioning is flat going into the roll (Schatz was short in our last update 2 weeks ago). Buxl has moved into slightly short territory. Each contract saw longs reduced in the most recent week.
- OATs remain in structurally long territory (indeed the longest in MNI Pi), though saw some short setting last week.
- Gilts remain in strucurally flat territory - but again, we caution against reading too much into this with the roll underway.
- BTP positioning has been steady at long for most of May, its longest stint in long territory since July 2022. There was some long reduction seen in the most recent week however.
