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Long Cover Seemed To Dominate On SOFR Strip On Friday

STIR

The combination of Friday’s cheapening and preliminary open interest data points to the following net positioning swings on the final day of last week:

  • Whites: Long cover seemingly dominated.
  • Reds: Short setting seemingly dominated, with SFRU4 providing the only exception via apparent long cover.
  • Greens: Long cover seemingly dominated.
  • Blues: Short setting was generally offset by long cover in net terms.
06-Oct-2305-Oct-23Daily OI ChangeDaily OI Change In Packs
SFRU3986,011992,901-6,890Whites-69,655
SFRZ31,397,5791,427,625-30,046Reds+14,929
SFRH4976,3451,001,047-24,702Greens-12,972
SFRM4936,307944,324-8,017Blues+763
SFRU4836,748839,899-3,151
SFRZ4917,527908,916+8,611
SFRH5545,580539,008+6,572
SFRM5580,757577,860+2,897
SFRU5493,681495,613-1,932
SFRZ5486,639496,035-9,396
SFRH6309,739309,090+649
SFRM6285,496287,789-2,293
SFRU6222,623223,897-1,274
SFRZ6187,415184,838+2,577
SFRH7128,829128,385+444
SFRM7138,199139,183-984
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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