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OI Indicates Mix Of SOFR Long Setting & Short Cover On Thursday

STIR

The combination of yesterday’s bull flattening on the SOFR strip and preliminary OI data points to a mix of long setting and short cover on Thursday.

  • The whites and blues seemingly saw fresh longs added on a net pack basis, while the reds and greens seemed to be subjected to short cover in net pack terms,
  • Pockets of divergence from the broader pack positioning trends were seen everywhere apart from the blues.
16-Nov-2315-Nov-23Daily OI ChangeDaily OI Change In Packs
SFRU3949,848949,680+168Whites+10,753
SFRZ31,423,6451,437,768-14,123Reds-10,091
SFRH41,124,8551,113,606+11,249Greens-14,770
SFRM41,022,6161,009,157+13,459Blues+17,325
SFRU4929,886913,681+16,205
SFRZ4891,679901,757-10,078
SFRH5512,404525,168-12,764
SFRM5554,984558,438-3,454
SFRU5546,534556,177-9,643
SFRZ5552,362561,920-9,558
SFRH6383,339381,171+2,168
SFRM6312,166309,903+2,263
SFRU6303,659297,018+6,641
SFRZ6239,026234,768+4,258
SFRH7139,966135,986+3,980
SFRM7127,753125,307+2,446
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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