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OI Data Suggests Mix Of SOFR Long Cover & Short Setting On Monday

STIR

The combination of preliminary open interest data and yesterday’s bear steepening of the SOFR strip through the blues points to a combination of long cover and fresh shorts driving net positioning swings on Monday.

  • The whites, greens and blues seemingly saw longs trimmed on net, to varying degrees.
  • The biggest net OI swing came in the reds, which seemeingly saw the setting of fresh shorts dominate on net.
21-Aug-2318-Aug-23Daily OI ChangeDaily OI Change In Packs
SFRM31,123,5451,121,782+1,763Whites-7,534
SFRU31,070,2291,080,421-10,192Reds+17,593
SFRZ31,233,8071,239,795-5,988Greens-983
SFRH4921,825914,942+6,883Blues-2,836
SFRM4845,140838,153+6,987
SFRU4775,020774,770+250
SFRZ4761,547755,353+6,194
SFRH5533,246529,084+4,162
SFRM5616,845628,562-11,717
SFRU5478,674475,636+3,038
SFRZ5447,328438,546+8,782
SFRH6259,780260,866-1,086
SFRM6214,823216,275-1,452
SFRU6158,927161,023-2,096
SFRZ6185,467184,129+1,338
SFRH7134,339134,965-626
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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