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OI Points To Long Setting On SOFR Strip After CPI

STIR

The mix of yesterday’s price action and preliminary open interest data suggests to us that the setting of fresh SOFR longs in the wake of the CPI data was the dominant theme from a net positioning perspective on Wednesday.

  • The picture in the whites is a little cloudier, given the mixed moves in OI, while 3 of the contracts were unchanged on the day at settlement. SFRU3 is the only contract that we can flag conviction in re: net long setting dominating and that was the key driver of the net OI change in the pack.
  • Beyond the whites, firmer prices and a general trend of increased OI give clearer signs of apparent net long setting from the reds through the blues (on a pack basis).
13-Sep-2312-Sep-23Daily OI ChangeDaily OI Change In Packs
SFRM31,107,7201,113,810-6,090Whites+18,387
SFRU31,170,4151,153,373+17,042Reds+30,130
SFRZ31,288,6091,296,860-8,251Greens+28,190
SFRH4992,512976,826+15,686Blues+6,859
SFRM4921,737901,706+20,031
SFRU4828,235820,359+7,876
SFRZ4889,569882,237+7,332
SFRH5519,218524,327-5,109
SFRM5584,679577,335+7,344
SFRU5488,149486,092+2,057
SFRZ5431,587426,462+5,125
SFRH6304,470290,806+13,664
SFRM6249,881246,904+2,977
SFRU6173,824167,116+6,708
SFRZ6169,461171,408-1,947
SFRH7125,444126,323-879
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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