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OI Points To Long Setting Across Most SONIA Futures On Friday

STIR

The combination of Friday's uptick in prices across most of the SONIA futures strip diverged with the broader theme in core global STIR markets, as participants looked to the degree of rapid repricing re: the BoE outlook for '24. BoE-dated OIS moved further away from pricing ~90bp of '24 cuts, as that move extended above the 100bp mark.

  • Cleaner positioning and cross-market plays may also have factored in.
  • The bulk of the strip through the blues seemed to see net long setting, with all of those packs seeing net long setting on the day.
  • There were some modest pockets of apparent net short cover, while it is hard to provide meaningful inference re: SFIZ3 & H4 positioning given unchanged prices come settlement.
26-Jan-2425-Jan-24Daily OI ChangeDaily OI Change In Packs
SFIZ3195,148194,965+183Whites+11,367
SFIH4194,097190,790+3,307Reds+347
SFIM4180,281173,345+6,936Greens+5,064
SFIU4217,443216,502+941Blues+2,929
SFIZ4255,493253,738+1,755
SFIH5167,817167,853-36
SFIM5134,447135,397-950
SFIU599,28799,709-422
SFIZ5109,611105,838+3,773
SFIH681,93481,660+274
SFIM654,86553,922+943
SFIU640,58040,506+74
SFIZ645,70145,819-118
SFIH734,90333,848+1,055
SFIM722,45121,369+1,082
SFIU713,68512,775+910
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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