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

STIR

The combination of yesterday’s move higher in SOFR futures and preliminary OI data points to the following positioning swings on Wednesday:

  • Whites: Apparent short cover across the pack, with a meaningful round of cover seemingly seen in SFRH4 helping facilitate a sizeable positioning move in the pack.
  • Reds: A mix of apparent net short cover (SFRZ4 & M5) and net long setting (SFRH5 & U5), with the former dominating in net pack terms.
  • Greens: A mix of apparent net long setting in SFRZ5 and net short cover elsewhere, with the former dominating in net pack terms.
  • Blues: A mix of apparent net long setting in SFRZ6 and net short cover elsewhere, with the former dominating in net pack OI terms.
  • A reminder that the NYC Bancorp news, data and month-end extension-related flow helped underpin SOFR futures on Wednesday, even during Powell-/FOMC-inspired pullbacks (which included pushback against the idea of a March FOMC rate cut)
31-Jan-2430-Jan-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,197,3211,201,396-4,075Whites-178,080
SFRH41,160,6041,261,773-101,169Reds-12,205
SFRM41,098,0901,141,453-43,363Greens+9,850
SFRU4953,813983,286-29,473Blues-4,378
SFRZ41,059,2931,074,219-14,926
SFRH5560,080543,910+16,170
SFRM5654,592671,541-16,949
SFRU5595,129591,629+3,500
SFRZ5659,776640,409+19,367
SFRH6413,957419,019-5,062
SFRM6414,073417,185-3,112
SFRU6297,820299,163-1,343
SFRZ6267,827266,565+1,262
SFRH7136,713138,122-1,409
SFRM7156,167158,543-2,376
SFRU7146,541148,396-1,855
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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