Free Trial

OI Indicates Mix Of Positioning Swings On SOFR Strip On Friday

STIR

The mix of preliminary open interest data and Friday’s twist steepening of the SOFR curve point to the following positioning swings on the SOFR strip ahead of the weekend.

  • Whites: Hard to be certain on net OI matters given the unchanged price status of SFRZ3 come settlement. SFRU3 seemed to see longs set, while SFRH4 seemed to see long cover and SFRM4 seemed to see shorts set.
  • Reds: Long cover seemed to dominate, although SFRH5 seemed to see fresh shorts set on net.
  • Greens: Short setting seemed to dominate, although SFRU5 seemed to see long cover on net.
  • Blues: Short setting was seemingly seen across all contracts in the pack in net terms.
10-Nov-2309-Nov-23Daily OI ChangeDaily OI Change In Packs
SFRU3935,696933,205+2,491Whites-4,652
SFRZ31,524,2751,540,246-15,971Reds-12,716
SFRH41,175,0381,178,168-3,130Greens+11,782
SFRM41,009,024997,066+11,958Blues+6,160
SFRU4925,412939,770-14,358
SFRZ4956,523963,366-6,843
SFRH5532,825523,779+9,046
SFRM5569,547570,108-561
SFRU5557,322559,029-1,707
SFRZ5586,708583,552+3,156
SFRH6361,150357,176+3,974
SFRM6286,965280,606+6,359
SFRU6281,131277,960+3,171
SFRZ6213,937213,897+40
SFRH7137,885136,617+1,268
SFRM7121,593119,912+1,681
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.