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OI Indicates Mix Of Positioning Swings In SONIA Futures On Wednesday

STIR

The combination of yesterday's light twist steepening on the SONIA futures strip (come settlement) and OI data points to the following positioning swings:

  • Whites: Little clarity out of some apparent modest short cover (SFIZ3) and long cover (SFIU4), given unchanged prices in SFIH4 & M4.
  • Reds: A mix of short setting and long cover that essentially offset in net pack OI terms.
  • Greens: A mix of short setting and long cover that essentially offset in net pack OI terms.
  • Blues: Net short setting in most contracts, with apparent modest net long cover in SFIH7 providing the only exception to the theme.
  • Comments from BoE MPC remember Breeden (largely detailing the evolution of her view re: monetary policy and earmarking key, familiar datapoints to watch) had little impact on the space, with matters from further afield providing more impetus for the space.
07-Feb-2406-Feb-24Daily OI ChangeDaily OI Change In Packs
SFIZ3186,774187,312-538Whites+4,001
SFIH4209,727211,781-2,054Reds+778
SFIM4219,870212,650+7,220Greens+205
SFIU4217,087217,714-627Blues+7,151
SFIZ4279,317279,382-65
SFIH5167,970168,993-1,023
SFIM5130,992130,474+518
SFIU599,95898,610+1,348
SFIZ5122,517122,328+189
SFIH683,58485,139-1,555
SFIM661,38259,164+2,218
SFIU643,60944,256-647
SFIZ650,73948,984+1,755
SFIH737,25937,397-138
SFIM727,00324,129+2,874
SFIU718,55115,891+2,660
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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