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Fresh Shorts Seemingly Dominated On The SOFR Strip On Thursday

STIR

Yesterday’s move lower in SOFR futures, coupled with preliminary open interest data, points to fresh shorts driving net positioning swings across the strip on Thursday, as participants seemingly made some room for hawkish utterances from Fed Chair Powell later today (terminal policy rate pricing ticked a touch higher on the FOMC-dated OIS strip).

  • 11 of the 16 contracts through the blues seemingly saw fresh shorts added on net, the remaining 5 seemingly saw long cover.
  • The reds saw the most meaningful move in net OI from a pack perspective, even with SFRM3 & SFRU3 seemingly being subjected to some long cover.
24-Aug-2323-Aug-23Daily OI ChangeDaily OI Change In Packs
SFRM31,116,3061,123,209-6,903Whites+47,210
SFRU31,041,5351,051,119-9,584Reds+17,469
SFRZ31,278,5881,237,446+41,142Greens+21,074
SFRH4955,788933,233+22,555Blues+5,263
SFRM4855,017840,297+14,720
SFRU4780,027780,225-198
SFRZ4764,992764,960+32
SFRH5529,396526,481+2,915
SFRM5626,504614,047+12,457
SFRU5484,290480,448+3,842
SFRZ5451,658452,631-973
SFRH6267,479261,731+5,748
SFRM6216,000214,565+1,435
SFRU6153,280152,169+1,111
SFRZ6186,691183,522+3,169
SFRH7133,215133,667-452
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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