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

STIR

The combination of yesterday's rally in SONIA futures and OI data points to the following positioning swings:

  • Whites: Net long setting in SFIZ3, H4 & U4, with only apparent net short cover in SFIM4 breaking the theme seen in the wider pack. The former dominated in net pack terms,.
  • Reds: Apparent net short cover through most of the pack, with SFIU5 providing the only exception to the rule via apparent (modest) net long setting. The former dominated in net pack terms.
  • Greens: Apparent rounds of modest net long setting and short cover essentially offset, leaving net pack OI little changed on the day.
  • Blues: Modest net long setting was seen in all contracts outside of some limited net short cover in SFIH7, leaving the net pack swing tilted towards the former.
  • A quick reminder that international inputs (the ECB decision/press conference & the totality of the U.S. data) provided the bulk of the dovish impetus on Thursday. That allowed BoE-dated OIS to move from pricing ~90bp of cuts through '24 at one stage (a fresh pull back extreme) to over ~100bp.
25-Jan-2424-Jan-24Daily OI ChangeDaily OI Change In Packs
SFIZ3194,965194,812+153Whites+4,773
SFIH4190,790184,629+6,161Reds-5,263
SFIM4173,345179,591-6,246Greens-96
SFIU4216,502211,797+4,705Blues+1,443
SFIZ4253,738255,481-1,743
SFIH5167,853167,937-84
SFIM5135,397139,046-3,649
SFIU599,70999,496+213
SFIZ5105,838105,504+334
SFIH681,66082,193-533
SFIM653,92254,400-478
SFIU640,50639,925+581
SFIZ645,81945,181+638
SFIH733,84833,948-100
SFIM721,36920,977+392
SFIU712,77512,262+513
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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