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OI Points To Friday Cover In SOFR Whites & Reds, Long Setting Further Out

STIR

The combination of Friday's flattening of the SOFR futures strip and preliminary OI data points to the following positioning swings around NFPS:

  • Whites: Seemed to be dominated by position squaring, with apparent rounds of net short and net long cover providing the most prominent positioning swings.
  • Reds: Short cover was seemingly seen in all contracts.
  • Greens: Net long setting seemed to dominate.
  • Blues: Net long setting was seemingly seen in all contracts.
08-Mar-2407-Mar-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,224,3071,225,970-1,663Whites-41,102
SFRH41,029,7941,045,908-16,114Reds-40,367
SFRM41,095,1961,088,377+6,819Greens+9,855
SFRU4893,441923,585-30,144Blues+2,956
SFRZ41,124,8151,131,445-6,630
SFRH5669,332679,037-9,705
SFRM5700,257714,651-14,394
SFRU5630,828640,466-9,638
SFRZ5698,262689,346+8,916
SFRH6462,154466,583-4,429
SFRM6484,463482,896+1,567
SFRU6343,472339,671+3,801
SFRZ6339,388337,702+1,686
SFRH7190,667189,719+948
SFRM7181,548181,447+101
SFRU7148,045147,824+221
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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