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OI Indicates Mix Of SOFR Positioning Swings On Wednesday

STIR

The combination of preliminary open interest data and yesterday’s price action point to the following positioning swings on the SOFR strip on Wednesday:

  • Whites: Apparent short cover in SFRU3, with an apparent mix of long cover and short setting elsewhere.
  • Reds: An apparent mix of short setting and long cover.
  • Greens: SFRU5 seemingly saw modest short setting, with longs seemingly set elsewhere.
  • Blues: An apparent mix of long setting and short cover.
11-Oct-2310-Oct-23Daily OI ChangeDaily OI Change In Packs
SFRU3961,663973,269-11,606Whites-16,289
SFRZ31,418,3491,426,219-7,870Reds+17,573
SFRH4962,587971,437-8,850Greens+19,028
SFRM4927,496915,459+12,037Blues-2,383
SFRU4830,506825,406+5,100
SFRZ4932,278923,750+8,528
SFRH5532,559538,933-6,374
SFRM5585,913575,594+10,319
SFRU5490,830490,272+558
SFRZ5500,974486,721+14,253
SFRH6311,700310,309+1,391
SFRM6292,981290,155+2,826
SFRU6226,066225,507+559
SFRZ6187,776187,598+178
SFRH7122,392123,768-1,376
SFRM7137,104138,848-1,744
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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