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OI Indicates Mixed SOFR Positioning Swings On Tuesday

STIR

The combination of Tuesday’s price action and preliminary open interest data indicates the following re: SOFR positioning:

  • Net short cover was the dominant theme in the white pack, although that was concentrated in SFRZ3.
  • The reds appear to have seen a mix of net fresh longs and net long cover, with the former seemingly dominating.
  • The greens saw fresh shorts added on net.
  • The blues saw a mix of fresh shorts set and long cover.
15-Aug-2314-Aug-23Daily OI ChangeDaily OI Change In Packs
SFRM31,124,0221,123,395+627Whites-34,702
SFRU31,078,4711,083,373-4,902Reds+26,694
SFRZ31,248,3631,282,272-33,909Greens+15,240
SFRH4903,897900,415+3,482Blues-840
SFRM4836,084826,622+9,462
SFRU4775,901760,434+15,467
SFRZ4747,007739,079+7,928
SFRH5526,399532,562-6,163
SFRM5619,747619,328+419
SFRU5478,559473,356+5,203
SFRZ5435,599432,316+3,283
SFRH6277,169270,834+6,335
SFRM6221,079222,433-1,354
SFRU6152,116150,205+1,911
SFRZ6178,484179,654-1,170
SFRH7132,075132,302-227
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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