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Long Setting Seemed To Dominate On SOFR Strip On Fri, Pockets Of Short Cover Also Seen

STIR

The combination of Friday’s bull flattening of the SOFR strip and preliminary open interest data point to the following positioning swings ahead of the weekend:

  • Whites: Short cover was seemingly the dominant theme on a pack basis, with net flows in SFRU3 and SFRZ3 outweighing apparent long setting in SFRH4 and SFRM4.
  • Reds: Long setting seemed to dominate on a pack basis, but that was only because of one large round of OI movement in SFRZ4.
  • Greens: Long setting seemed to dominate on a pack basis, although short cover was seemingly seen in SFRM6.
  • Blues: Long setting seemed to dominate comfortably in net terms.
13-Oct-2312-Oct-23Daily OI ChangeDaily OI Change In Packs
SFRU3952,590955,506-2,916Whites-11,371
SFRZ31,440,2151,456,681-16,466Reds+18,740
SFRH4977,418973,382+4,036Greens+6,862
SFRM4942,344938,369+3,975Blues+24,112
SFRU4840,394841,930-1,536
SFRZ4973,663954,361+19,302
SFRH5538,570538,083+487
SFRM5573,171572,684+487
SFRU5490,531483,820+6,711
SFRZ5508,021504,554+3,467
SFRH6314,704314,278+426
SFRM6288,614292,356-3,742
SFRU6226,803229,140-2,337
SFRZ6223,769210,788+12,981
SFRH7136,331128,488+7,843
SFRM7140,314134,689+5,625
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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