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OI Points To Long Setting Dominating Across SOFR Strip On Thursday

STIR

The mix of yesterday's rally in SOFR futures and preliminary OI data points to net long setting across all packs through the blues, with nothing more than pockets of (modest) short cover detected in some of the contracts across that area of the strip.

  • A reminder that much of the rally was triggered by the mix of the feedthrough from the ECB's post-meeting communique and the totality of yesterday's U.S. data.
  • Still, SOFR futures operate comfortably shy of recent bests.
25-Jan-2424-Jan-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,203,8351,204,539-704Whites+39,366
SFRH41,219,1491,201,532+17,617Reds+11,535
SFRM41,123,2191,112,179+11,040Greens+13,326
SFRU4992,595981,182+11,413Blues+3,033
SFRZ41,042,1521,033,743+8,409
SFRH5539,678539,307+371
SFRM5641,088643,148-2,060
SFRU5577,282572,467+4,815
SFRZ5636,298628,113+8,185
SFRH6422,465418,120+4,345
SFRM6419,122416,947+2,175
SFRU6302,937304,316-1,379
SFRZ6268,333266,070+2,263
SFRH7135,183134,680+503
SFRM7148,811148,161+650
SFRU7148,670149,053-383
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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