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OI Points To Mix Of Long Setting And Short Cover In SONIA Futures On Thursday

STIR

The combination of yesterday's uptick in SONIA futures and preliminary OI data points to the following positioning swings on Thursday:

  • Whites: A mix of apparent net short cover (SFIZ3 & H4) and long setting (SFIM4 & U4), with the former dominating in net pack terms.
  • Reds: Net long setting was seemingly seen across all contracts, although moves in OI outside of SFIZ4 were very small.
  • Greens: An apparent mix of short cover (SFIZ5) and net long setting (SFIH6, M6 & U6), with net pack OI essentially flat on the day.
  • Blues: Very modest net OI swings pointed to a mix of net long setting (SFIZ6, SFIM7 & U7) and net short cover (SFIH7), with the former carrying slightly more weight in net pack OI terms.
18-Jan-2417-Jan-24Daily OI ChangeDaily OI Change In Packs
SFIZ3195,074195,440-366Whites-6,191
SFIH4187,916198,880-10,964Reds+8,121
SFIM4181,190179,487+1,703Greens+426
SFIU4190,520187,084+3,436Blues+1,149
SFIZ4261,136254,952+6,184
SFIH5152,917152,333+584
SFIM5126,140125,308+832
SFIU597,20296,681+521
SFIZ5106,394107,599-1,205
SFIH686,46486,133+331
SFIM656,03155,390+641
SFIU641,69441,035+659
SFIZ639,15238,798+354
SFIH730,68830,942-254
SFIM718,27817,525+753
SFIU710,94610,650+296
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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