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Long Cover & Short Setting Dominated SOFR Positioning Swings On Thursday

STIR

The general theme of cheapening witnessed across most of the SOFR strip on Thursday, coupled with preliminary open interest data, points to long cover and short setting being at the fore from a net positioning perspective. The picture for SFRM3 is a little muddier owing to the lack of price change on the day, while the modest uptick in SFRU3 futures coupled with the downtick in open interest in the contract points to net short cover.

  • Looking at the net moves across the packs, long cover was the most notable theme in the whites, with the move in SFRZ3 OI dominating. Meanwhile, fresh shorts were set across the reds, greens and blues on net, with only light long cover seen in some of the contracts in those 3 packs. The local data releases were the likely driving forces of these positioning swings.
27-Jul-2326-Jul-23Daily OI ChangeDaily OI Change In Packs
SFRM31,113,7221,118,210-4,488Whites-66,398
SFRU31,106,7101,119,387-12,677Reds+26,167
SFRZ31,274,1781,310,957-36,779Greens+38,139
SFRH4858,691871,145-12,454Blues+4,196
SFRM4799,376787,498+11,878
SFRU4754,006755,379-1,373
SFRZ4761,519745,136+16,383
SFRH5523,884524,605-721
SFRM5511,569504,446+7,123
SFRU5444,870423,169+21,701
SFRZ5347,202340,495+6,707
SFRH6250,560247,952+2,608
SFRM6178,725179,275-550
SFRU6150,924148,740+2,184
SFRZ6172,622169,766+2,856
SFRH7124,340124,634-294
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
BulletMarketsFixed Income BulletsHomepage
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
BulletMarketsFixed Income BulletsHomepage

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