March 28, 2024 11:01 GMT
OI Points To Mix Of SOFR Net Long Setting & Short Cover On Wednesday
STIR
The combination of yesterday's rally in most SOFR futures and preliminary OI data points to the following position swings:
- Whites: Short cover seemed to dominate, although it is hard to be sure when it comes to SFRH4 & M4 positioning given their unchanged price status come settlement.
- Reds: Rounds of long setting and short cover seemed to offset.
- Greens & Blues: Net long setting seemed to dominate, with pockets of short cover seen.
- Comments from Fed Governor Waller leave SOFR futures and Tsys a little below levels seen late yesterday at typing.
27-Mar-24 | 26-Mar-24 | Daily OI Change | Daily OI Change In Packs | ||
SFRH4 | 994,467 | 994,378 | +89 | Whites | -15,656 |
SFRM4 | 1,194,969 | 1,177,969 | +17,000 | Reds | +6 |
SFRU4 | 1,009,969 | 1,018,618 | -8,649 | Greens | +8,251 |
SFRZ4 | 1,105,215 | 1,129,311 | -24,096 | Blues | +5,314 |
SFRH5 | 709,500 | 714,557 | -5,057 | ||
SFRM5 | 786,022 | 793,408 | -7,386 | ||
SFRU5 | 660,487 | 653,414 | +7,073 | ||
SFRZ5 | 671,029 | 665,653 | +5,376 | ||
SFRH6 | 481,588 | 474,986 | +6,602 | ||
SFRM6 | 502,020 | 497,201 | +4,819 | ||
SFRU6 | 377,532 | 378,041 | -509 | ||
SFRZ6 | 339,091 | 341,752 | -2,661 | ||
SFRH7 | 233,806 | 234,034 | -228 | ||
SFRM7 | 196,064 | 194,222 | +1,842 | ||
SFRU7 | 158,016 | 157,452 | +564 | ||
SFRZ7 | 200,084 | 196,948 | +3,136 |
170 words