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OI Points To Fresh Net Longs In Reds Dominating SOFR Positioning Swings On Tuesday

STIR

Yesterday’s data-inspired move higher in SOFR futures (as participants reacted to soft JOLTS job opening and consumer confidence data) coupled with preliminary open interest data point to the following positioning swings:

  • Apparent modest short trimming in net terms across the whites, greens and blues, although fresh longs were seemingly set in some contracts in those packs.
  • The addition of net fresh longs seemed to be the dominant factor in the reds.
29-Aug-2328-Aug-23Daily OI ChangeDaily OI Change In Packs
SFRM31,121,3221,122,840-1,518Whites-3,087
SFRU31,068,3741,069,871-1,497Reds+30,510
SFRZ31,284,7881,286,755-1,967Greens-7,227
SFRH4976,953975,058+1,895Blues-107
SFRM4850,398854,893-4,495
SFRU4788,959777,971+10,988
SFRZ4823,809800,916+22,893
SFRH5517,636516,512+1,124
SFRM5608,081610,395-2,314
SFRU5488,074489,597-1,523
SFRZ5425,240436,231-10,991
SFRH6290,197282,596+7,601
SFRM6229,657230,860-1,203
SFRU6161,207159,621+1,586
SFRZ6186,247186,638-391
SFRH7124,741124,840-99
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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