Free Trial

OI Points To Mix Of Fresh Shorts & Long Cover On SOFR Strip

STIR

The combination of preliminary open interest data and the cheapening seen on the SOFR strip between settlement timings on Friday and Tuesday point to the following net positioning swings:

  • The setting of fresh shorts dominating in both the whites and the reds.
  • OI swings were a little more contained further out, with the greens seemingly seeing long cover in net terms, while the blues seemingly saw fresh shorts added on net.
05-Sep-2301-Sep-23Daily OI ChangeDaily OI Change In Packs
SFRM31,132,8531,126,632+6,221Whites+38,134
SFRU31,138,2781,104,422+33,856Reds+41,407
SFRZ31,259,8881,261,512-1,624Greens-5,355
SFRH4975,702976,021-319Blues+2,076
SFRM4885,229862,049+23,180
SFRU4800,300793,416+6,884
SFRZ4875,196862,386+12,810
SFRH5542,355543,822-1,467
SFRM5597,045591,934+5,111
SFRU5486,863491,461-4,598
SFRZ5429,229435,742-6,513
SFRH6291,176290,531+645
SFRM6236,749235,411+1,338
SFRU6162,124160,308+1,816
SFRZ6174,290175,274-984
SFRH7125,597125,691-94
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.