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OI Points To Mix Of Long Setting & Short Cover On SOFR Strip

STIR

The combination of yesterday's uptick across most of the SOFR futures strip and preliminary OI data points to the following net positioning swings since Friday's close.

  • Whites: A mix of short cover and long setting, with the former dominating in net pack terms.
  • Reds: A mix of short cover and long setting, with the former dominating in net pack terms.
  • Greens: A mix of short cover and long setting, with the latter dominating in net pack terms.
  • Blues: A mix of short cover and long setting, with the former dominating in net pack terms.
  • Canadian CPI data, the Chinese LPR fixing and an apparent willingness to fade the move from Friday's post-PPI extremes all contributed to price action.
20-Feb-2416-Feb-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,128,1611,128,985-824Whites-17,024
SFRH41,121,7841,150,048-28,264Reds-44,563
SFRM41,086,7891,068,305+18,484Greens+3,154
SFRU4846,985853,405-6,420Blues-2,481
SFRZ41,125,6631,137,371-11,708
SFRH5650,867696,733-45,866
SFRM5684,498684,857-359
SFRU5656,979643,609+13,370
SFRZ5743,181754,956-11,775
SFRH6510,958499,828+11,130
SFRM6500,893495,122+5,771
SFRU6306,555308,527-1,972
SFRZ6304,879307,802-2,923
SFRH7170,972169,287+1,685
SFRM7159,507162,194-2,687
SFRU7155,918154,474+1,444
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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