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OI Indicates Mix Of SOFR Positioning Swings On Wednesday

STIR

The mix of preliminary open interest data and twist flattening of the SOFR strip point to the following positioning swings on Wednesday:

  • Whites: Long cover seemed to be the dominant force.
  • Reds: Apparent long cover once again seemed to dominate on a pack basis, although short setting was seemingly seen in SFRH5
  • Greens: The dominant factor for the pack seemed to be long setting, although that was only really evidenced in SFRH6. It is hard to be surre of SFRU5 & SFRZ6 positioning moves owing to their unchanged price status on the day.
  • Blues: Light long setting was seemingly observed across most of the pack.
08-Nov-2307-Nov-23Daily OI ChangeDaily OI Change In Packs
SFRU3934,119928,635+5,484Whites-31,499
SFRZ31,512,8611,518,135-5,274Reds-21,589
SFRH41,144,5471,151,987-7,440Greens+4,185
SFRM41,003,7811,028,050-24,269Blues+6,511
SFRU4929,431944,867-15,436
SFRZ4962,587964,535-1,948
SFRH5502,777498,012+4,765
SFRM5567,560576,530-8,970
SFRU5545,041548,486-3,445
SFRZ5591,286596,694-5,408
SFRH6359,428346,257+13,171
SFRM6281,512281,645-133
SFRU6275,940275,983-43
SFRZ6212,754208,803+3,951
SFRH7138,634136,862+1,772
SFRM7120,275119,444+831
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
BulletMarketsFixed Income BulletsHomepage
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
BulletMarketsFixed Income BulletsHomepage

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