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

STIR

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

  • Net short cover seemed to dominate in the whites and reds, albeit with pockets of apparent net long setting seen (SFRZ3, M4 & U5).
  • Net long setting was more prominent in the greens and blues, albeit with some pockets of apparent short cover seen in the blues (SFRZ6 & U7).
  • A reminder that dovish comments from Chicago Fed President Goolsbee & feedhtrough from UK CPI data helped counter some of the hawkish repricing seen in the wake of Tuesday's CPI data.
14-Feb-2413-Feb-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,133,1071,128,141+4,966Whites-26,567
SFRH41,153,9101,190,097-36,187Reds-9,822
SFRM41,063,2741,056,468+6,806Greens+10,168
SFRU4842,826844,978-2,152Blues+5,363
SFRZ41,090,9201,103,147-12,227
SFRH5617,092622,500-5,408
SFRM5681,194691,550-10,356
SFRU5625,107606,938+18,169
SFRZ5739,465735,900+3,565
SFRH6472,497468,469+4,028
SFRM6489,154488,557+597
SFRU6308,062306,084+1,978
SFRZ6302,982303,338-356
SFRH7161,844158,078+3,766
SFRM7161,560158,980+2,580
SFRU7151,752152,379-627
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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