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OI Indicated Fresh Shorts Dominated SOFR Positioning Swings On Tuesday

STIR

The combination of yesterday’s bearish strip steepening and open interest data point to the establishing of fresh shorts and reduction of existing longs when it came to net positioning swings on Tuesday. The picture isn’t as clear for SFRM3 & SFRU3 given the unchanged price status on the day, although net OI swings were only modest in those two contracts. More widely, the whites through blues seemingly saw the setting of fresh shorts dominate, with the most notable move coming in the greens. Looking at a more micro level, the most notable OI swing came in the June ’25 contract, owing to the sizeable volume of butterfly trades covering that contract.

01-Aug-2331-Jul-23Daily OI ChangeDaily OI Change In Packs
SFRM31,116,8821,116,110+772Whites+10,335
SFRU31,121,0211,120,866+155Reds+27,001
SFRZ31,273,5121,269,513+3,999Greens+108,184
SFRH4879,519874,110+5,409Blues+4,335
SFRM4808,515803,070+5,445
SFRU4750,957748,251+2,706
SFRZ4775,259789,611-14,352
SFRH5567,132533,930+33,202
SFRM5582,768510,261+72,507
SFRU5443,887433,682+10,205
SFRZ5366,546349,392+17,154
SFRH6262,328254,010+8,318
SFRM6183,375182,396+979
SFRU6158,044157,189+855
SFRZ6177,807175,938+1,869
SFRH7125,287124,655+632
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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