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OI Data Points To SOFR Short Setting Over The Thanksgiving Period

STIR

The mix of preliminary open interest data and the general move lower in SOFR futures between Wednesday & Friday settlements points to net short setting as the dominant factor in SOFR futures over the Thanksgiving holiday window, as core global bond markets cheapened.

  • Pockets of apparent long cover were seen in the whites, and blues.
24-Nov-2322-Nov-23Daily OI ChangeDaily OI Change In Packs
SFRU3972,830969,912+2,918Whites+10,103
SFRZ31,386,8521,371,971+14,881Reds+23,409
SFRH41,127,9411,124,029+3,912Greens+25,000
SFRM41,000,4201,012,028-11,608Blues+6,082
SFRU4927,176923,313+3,863
SFRZ4894,479887,980+6,499
SFRH5528,959527,890+1,069
SFRM5607,834595,856+11,978
SFRU5659,241647,561+11,680
SFRZ5548,982544,477+4,505
SFRH6393,089387,630+5,459
SFRM6316,602313,246+3,356
SFRU6316,630303,303+13,327
SFRZ6234,957237,871-2,914
SFRH7130,255133,220-2,965
SFRM7131,343132,709-1,366
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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