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OI Points to Mix Of Long Setting & Short Cover In SOFR Futures On Friday

STIR

The combination of Friday's rally in SOFR futures and preliminary OI data points to the following net positioning swings ahead of the weekend:

  • Whites: Net short cover dominated, driven by SFRH4.
  • Reds: Net long setting dominated. although that was driven by a solitary contract (SFRM5). Net short cover was seemingly seen in the remaining contracts in the pack.
  • Greens & Blues: Net long setting in all contracts.
  • A reminder that a heavy day for the yuan and continued dovish G10 central bank repricing fuelled demand for U.S. fixed income assets ahead of the weekend.
22-Mar-2421-Mar-24Daily OI ChangeDaily OI Change In Packs
SFRH4992,7511,028,569-35,818Whites-33,675
SFRM41,179,7011,184,641-4,940Reds+7,474
SFRU41,012,6781,010,569+2,109Greens+14,142
SFRZ41,147,6361,142,662+4,974Blues+8,544
SFRH5718,125718,280-155
SFRM5781,494764,289+17,205
SFRU5665,139668,762-3,623
SFRZ5652,734658,687-5,953
SFRH6469,606462,808+6,798
SFRM6505,593504,296+1,297
SFRU6391,003388,954+2,049
SFRZ6351,027347,029+3,998
SFRH7231,992230,925+1,067
SFRM7197,099194,384+2,715
SFRU7161,104157,796+3,308
SFRZ7195,372193,918+1,454
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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