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OI Indicates Mix Of Positioning Swings In SONIA Futures On Monday

STIR

The combination of yesterday’s twist flattening of the SONIA futures strip and OI data points to the following net positioning swings on Monday:

  • Whites: Short setting appeared to dominate. SFRZ3 seemed to see net long cover, although it is hard to be certain given then lack of net price movement in the contract come settlement.
  • Reds: A mix of short setting (SFIZ4 & H5) and short cover (SFIU5). It is hard to be definitive when it comes to SFIM5 positioning given the lack of net price movement on the day.
  • Greens: Modest long setting seemed apparent in all contracts.
  • Blues: Short cover seemed apparent in all contracts outside of SFIM7 (very light long setting was seemingly seen there), with the most sizeable net OI swing coming in SFIZ6. Net pack positioning seemed comfortably titled towards short cover as a result.
15-Jan-2412-Jan-24Daily OI ChangeDaily OI Change In Packs
SFIZ3197,991201,088-3,097Whites+10,888
SFIH4212,195202,206+9,989Reds+3,343
SFIM4179,270178,349+921Greens+3,635
SFIU4176,056172,981+3,075Blues-4,224
SFIZ4270,591266,894+3,697
SFIH5152,790149,998+2,792
SFIM5124,920126,818-1,898
SFIU591,59792,845-1,248
SFIZ5106,011105,684+327
SFIH688,24288,035+207
SFIM656,77154,250+2,521
SFIU641,03040,450+580
SFIZ640,89644,909-4,013
SFIH730,43830,703-265
SFIM716,95816,462+496
SFIU710,45010,892-442
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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