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OI Points To Mix Of Long Cover & Short Setting In SOFR Futures On Thurs

STIR

The combination of yesterday’s move lower in SOFR futures and preliminary OI data points to a mix of net short setting and long cover across the strip, although net pack OIs don’t show much in the way of meaningful net positioning movement.

  • OI in SFRH5 & M5 indicates that some fresh SFRH5/M5 steepener positions may have been set.
  • Yesterday’s sell off was unwound on the back of the well-documented Israel-Iran matters, although the space is now comfortably off overnight highs (as covered elsewhere).
18-Apr-2417-Apr-24Daily OI ChangeDaily OI Change In Packs
SFRH4936,700941,664-4,964Whites+1,129
SFRM41,154,0331,164,604-10,571Reds+9,273
SFRU4976,225958,863+17,362Greens-16,436
SFRZ41,209,3201,210,018-698Blues+744
SFRH5724,646712,587+12,059
SFRM5812,392798,597+13,795
SFRU5680,610681,624-1,014
SFRZ5798,184813,751-15,567
SFRH6485,538484,699+839
SFRM6508,621509,026-405
SFRU6372,366369,797+2,569
SFRZ6339,506358,945-19,439
SFRH7227,590228,861-1,271
SFRM7190,658190,457+201
SFRU7169,367166,917+2,450
SFRZ7149,801150,437-636
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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