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OI Data Suggests Short Cover Dominated SOFR Positioning Swings On Wednesday

STIR

The combination of preliminary open interest data and Wednesday’s bull flattening of the SOFR strip point to short cover being the dominant positioning swing through the blues yesterday.

  • The net OI swing was most prominent in the reds on a pack basis, while SFRU3 saw the largest OI swing of any single contract.
  • 12 of the 16 contracts through the blues seemed to be subjected to net short cover, while the remaining 4 seemingly saw longs added on net.
23-Aug-2322-Aug-23Daily OI ChangeDaily OI Change In Packs
SFRM31,123,2091,125,051-1,842Whites-21,211
SFRU31,045,9291,063,200-17,271Reds-22,159
SFRZ31,233,9941,239,338-5,344Greens-10,234
SFRH4933,236929,990+3,246Blues-6,490
SFRM4840,297855,828-15,531
SFRU4780,225779,942+283
SFRZ4764,960768,051-3,091
SFRH5526,481530,301-3,820
SFRM5614,047624,387-10,340
SFRU5480,448488,107-7,659
SFRZ5452,631447,794+4,837
SFRH6261,731258,803+2,928
SFRM6214,565214,853-288
SFRU6152,169156,133-3,964
SFRZ6183,522184,463-941
SFRH7133,667134,964-1,297
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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