November 15, 2023 11:16 GMT
OI Points To Short Cover As The Dominant Positioning Factor On The SOFR Strip Post-CPI
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.
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