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OI Points to Mix Of Long Setting & Short Cover Across SONIA Futures Strip On Wednesday

STIR

The combination of the uptick seen across most of the SONIA futures strip and OI data points to the following positioning swings on Wednesday:

  • Whites: A mix of apparent net short cover (SFIH4 & M4) and modest net long setting (SFIU4). It is hard to be certain when it comes to SFIZ3 given its unchanged price status on the day.
  • Reds: Apparent net long setting in all contracts outside of some apparent modest net short cover in SFIZ4.
  • Greens: Apparent net long setting in all contracts outside of some apparent modest net short cover in SFIU6.
  • Blues: Apparent net short cover in all contracts outside of some apparent modest net long setting in SFIM7.
  • A reminder that softer-than-expected domestic CPI data provided the impetus for most of yesterday’s rally. This comes in the wake of the unwind of some of the cuts priced into the strip in the wake of the firmer-than-expected U.S. CPI and domestic wage data.
14-Feb-2413-Feb-24Daily OI ChangeDaily OI Change In Packs
SFIZ3187,546189,435-1,889Whites-6,266
SFIH4209,428210,828-1,400Reds+6,474
SFIM4222,417225,827-3,410Greens+9,869
SFIU4218,524218,091+433Blues-1,587
SFIZ4276,859277,018-159
SFIH5172,423171,042+1,381
SFIM5136,598131,777+4,821
SFIU5105,434105,003+431
SFIZ5130,511123,718+6,793
SFIH689,45386,118+3,335
SFIM662,29161,328+963
SFIU641,59142,813-1,222
SFIZ650,04850,973-925
SFIH737,88638,749-863
SFIM728,53228,157+375
SFIU717,21117,385-174
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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