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OI Points To Long Cover Dominating On SOFR Strip On Wednesdays

STIR

The combination of yesterday’s move higher on the SOFR strip and preliminary open interest data point to net long setting as the dominant factor on the day.

  • That theme prevailed across all packs, although pockets of short cover were also seemingly apparent.
  • This came as the dovish Fed repricing extended on a mix of global impulses and the net impact of recent Fedspeak.
29-Nov-2328-Nov-23Daily OI ChangeDaily OI Change In Packs
SFRU3982,700965,259+17,441Whites+31,216
SFRZ31,478,3641,455,455+22,909Reds+71,454
SFRH41,132,5131,151,048-18,535Greens+5,313
SFRM4980,773971,372+9,401Blues+5,579
SFRU41,010,444935,837+74,607
SFRZ4900,215892,187+8,028
SFRH5535,247539,172-3,925
SFRM5598,101605,357-7,256
SFRU5647,631663,971-16,340
SFRZ5546,785551,873-5,088
SFRH6411,475402,029+9,446
SFRM6349,619332,324+17,295
SFRU6312,956309,763+3,193
SFRZ6251,800249,239+2,561
SFRH7146,954146,288+666
SFRM7138,166139,007-841
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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