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STIR: Notable Swing In SFRZ4 Positioning Seen Again On Monday

STIR
BulletMarketsFixed Income Bullets

OI data points to a mix of net short setting and long cover during Monday’s downtick in SOFR futures.

  • SFRZ4 saw the largest positioning swing once again, with nearly 80K fresh net shorts set.
  • Friday’s reduction in net OI in the contract was seemingly driven by positioning unwinds surrounding the expiration of the Dec ’24 (Z4) options contracts.
  • It’s harder to pinpoint a clear driver for Monday’s positioning move.
  • Other notable positioning swings came via net long cover in SFRZ5 and net short setting in SFRZ7.

 

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OI data points to a mix of net short setting and long cover during Monday’s downtick in SOFR futures.

  • SFRZ4 saw the largest positioning swing once again, with nearly 80K fresh net shorts set.
  • Friday’s reduction in net OI in the contract was seemingly driven by positioning unwinds surrounding the expiration of the Dec ’24 (Z4) options contracts.
  • It’s harder to pinpoint a clear driver for Monday’s positioning move.
  • Other notable positioning swings came via net long cover in SFRZ5 and net short setting in SFRZ7.

 

Keep reading...Show less