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OI Flags Mixed Position Swings On SOFR Strip Friday, Short Setting In Reds Most Prominent

STIR

The combination of preliminary open interest data and Friday's price action (twist steepening) points to the following net positioning swings on the SOFR strip:

  • No definitive conclusions re: SFRM3 & SFRZ3 as prices were unchanged come settlement. SFRU3 seemingly saw shorts covered, while SFRH4 seemingly saw longs covered.
  • Fresh short setting seemingly dominating in the reds.
  • Apparent, mixed positioning swings in the greens, with long cover seemingly outweighing fresh short setting on a pack basis, just.
  • Fresh shorts seemingly dominating on a pack basis in the blues.
08-Sep-2307-Sep-23Daily OI ChangeDaily OI Change In Packs
SFRM31,121,2781,125,443-4,165Whites-15,829
SFRU31,123,6531,130,022-6,369Reds+39,185
SFRZ31,261,3841,259,049+2,335Greens-2,129
SFRH4964,693972,323-7,630Blues+7,738
SFRM4889,494873,585+15,909
SFRU4801,527805,045-3,518
SFRZ4862,807844,409+18,398
SFRH5538,211529,815+8,396
SFRM5577,340584,622-7,282
SFRU5489,965485,083+4,882
SFRZ5423,891419,844+4,047
SFRH6288,471292,247-3,776
SFRM6241,124236,169+4,955
SFRU6163,787161,455+2,332
SFRZ6172,956173,440-484
SFRH7126,290125,355+935
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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