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Free AccessLong Cover Seemed To Dominate On SOFR Strip On Friday
The combination of Friday’s twist flattening on the SOFR strip and preliminary open interest data point to the following positioning swings ahead of the weekend.
- Whites: Long cover seemed to dominate, aided by the well-documented comments from NY Fed President Williams, although pockets of fresh short setting were also seen (SFRU3 & H4).
- Reds: Long cover also seemed to dominate there, with net short setting seemingly only seen in SFRM5.
- Greens: The bias was once again towards apparent long cover, although one round of apparent short setting (SFRM6) tilted the net pack OI swing away from extremes.
- Blues: A mix of long setting and short cover was seemingly seen. It is hard to be definitive when it comes to SFRU6 positioning moves given the unchanged price status on the day.
15-Dec-23 | 14-Dec-23 | Daily OI Change | Daily OI Change In Packs | ||
SFRU3 | 1,114,540 | 1,102,594 | +11,946 | Whites | -59,204 |
SFRZ3 | 1,538,346 | 1,594,351 | -56,005 | Reds | -68,132 |
SFRH4 | 1,099,594 | 1,092,754 | +6,840 | Greens | -7,985 |
SFRM4 | 1,001,499 | 1,023,484 | -21,985 | Blues | -2,157 |
SFRU4 | 934,741 | 950,141 | -15,400 | ||
SFRZ4 | 905,443 | 956,322 | -50,879 | ||
SFRH5 | 566,132 | 573,295 | -7,163 | ||
SFRM5 | 610,615 | 605,305 | +5,310 | ||
SFRU5 | 592,983 | 596,391 | -3,408 | ||
SFRZ5 | 567,084 | 578,817 | -11,733 | ||
SFRH6 | 408,557 | 408,805 | -248 | ||
SFRM6 | 385,183 | 377,779 | +7,404 | ||
SFRU6 | 310,644 | 312,356 | -1,712 | ||
SFRZ6 | 236,782 | 241,129 | -4,347 | ||
SFRH7 | 145,025 | 143,942 | +1,083 | ||
SFRM7 | 139,952 | 137,133 | +2,819 |
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.