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OI Points To Short Cover As The Dominant Positioning Factor On The SOFR Strip Post-CPI

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The combination of Tuesday’s meaningful post-CPI rally across most of the SOFR strip and preliminary open interest data point to short cover as the dominant positioning factor on the day, with apparent pockets of long setting also seen.

  • Whites: SFRU3 seemingly saw some short setting, while SFRZ3 & SFRH4 seemingly saw short cover and SFRM4 seemingly saw fresh longs set.
  • Reds: Seemingly saw short cover in all contracts outside of SFRU4, which seemingly saw longs added.
  • Greens: SFRU5 & SFRZ5 seemingly saw short cover while SFRH6 & SFRM6 seemingly saw longs set.
  • Blues: Long setting was seemingly seen across most of the strip, with SFRH7 seemingly seeing short cover.
14-Nov-2313-Nov-23Daily OI ChangeDaily OI Change In Packs
SFRU3945,237934,828+10,409Whites-47,791
SFRZ31,431,8681,464,362-32,494Reds-41,103
SFRH41,132,2391,166,482-34,243Greens-20,152
SFRM41,027,7691,019,232+8,537Blues+18,117
SFRU4929,855923,175+6,680
SFRZ4912,477951,571-39,094
SFRH5525,358527,704-2,346
SFRM5561,396567,739-6,343
SFRU5556,607559,940-3,333
SFRZ5572,073594,668-22,595
SFRH6365,741364,292+1,449
SFRM6301,387297,060+4,327
SFRU6294,661285,097+9,564
SFRZ6227,500217,516+9,984
SFRH7136,881138,506-1,625
SFRM7122,787122,593+194
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The combination of Tuesday’s meaningful post-CPI rally across most of the SOFR strip and preliminary open interest data point to short cover as the dominant positioning factor on the day, with apparent pockets of long setting also seen.

  • Whites: SFRU3 seemingly saw some short setting, while SFRZ3 & SFRH4 seemingly saw short cover and SFRM4 seemingly saw fresh longs set.
  • Reds: Seemingly saw short cover in all contracts outside of SFRU4, which seemingly saw longs added.
  • Greens: SFRU5 & SFRZ5 seemingly saw short cover while SFRH6 & SFRM6 seemingly saw longs set.
  • Blues: Long setting was seemingly seen across most of the strip, with SFRH7 seemingly seeing short cover.
14-Nov-2313-Nov-23Daily OI ChangeDaily OI Change In Packs
SFRU3945,237934,828+10,409Whites-47,791
SFRZ31,431,8681,464,362-32,494Reds-41,103
SFRH41,132,2391,166,482-34,243Greens-20,152
SFRM41,027,7691,019,232+8,537Blues+18,117
SFRU4929,855923,175+6,680
SFRZ4912,477951,571-39,094
SFRH5525,358527,704-2,346
SFRM5561,396567,739-6,343
SFRU5556,607559,940-3,333
SFRZ5572,073594,668-22,595
SFRH6365,741364,292+1,449
SFRM6301,387297,060+4,327
SFRU6294,661285,097+9,564
SFRZ6227,500217,516+9,984
SFRH7136,881138,506-1,625
SFRM7122,787122,593+194