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OI Points To Fresh Long Setting In SOFR On Thursday

STIR

The combination of preliminary open interest data and yesterday’s bull flattening of the SOFR strip through the blues points to net long setting dominating from a positioning perspective on Thursday, with the move most pronounced in the whites (on a pack basis).

  • Modest pockets of apparent net short cover were seen, with such flows in the greens and the blues mostly offsetting any net long setting on a pack basis.
05-Oct-2304-Oct-23Daily OI ChangeDaily OI Change In Packs
SFRU3992,9011,002,383-9,482Whites+23,242
SFRZ31,418,9871,403,837+15,150Reds+19,167
SFRH4999,100986,491+12,609Greens+209
SFRM4943,735938,770+4,965Blues+524
SFRU4839,890823,325+16,565
SFRZ4908,897915,661-6,764
SFRH5538,989542,794-3,805
SFRM5577,842564,671+13,171
SFRU5495,613495,779-166
SFRZ5496,035493,616+2,419
SFRH6309,090310,936-1,846
SFRM6287,789287,987-198
SFRU6223,701218,274+5,427
SFRZ6184,838186,790-1,952
SFRH7128,385131,923-3,538
SFRM7139,183138,596+587
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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