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

STIR

The combination of yesterday's sell off in SOFR futures and preliminary OI data points to the following positioning swings on Monday:

  • Whites: Net short setting seemed to dominate in pack terms, with some lighter rounds of apparent net long cover in some contracts.
  • Reds: Net short setting was seemingly seen in all contracts.
  • Greens: Net long cover seemed to dominate in net pack terms, with an apparent round of net short setting in SFRU6 providing the only exception.
  • Blues: An apparent mix of net short setting and long cover, with the latter dominating in net pack terms.
26-Feb-2423-Feb-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,123,2271,125,753-2,526Whites+21,413
SFRH41,109,4631,114,956-5,493Reds+18,152
SFRM41,116,9881,097,400+19,588Greens-30,844
SFRU4859,277849,433+9,844Blues-1,446
SFRZ41,135,9341,131,801+4,133
SFRH5675,796675,211+585
SFRM5721,153707,914+13,239
SFRU5643,673643,478+195
SFRZ5722,888760,030-37,142
SFRH6487,549489,936-2,387
SFRM6508,447511,197-2,750
SFRU6322,869311,434+11,435
SFRZ6303,547306,845-3,298
SFRH7186,959178,742+8,217
SFRM7176,855181,857-5,002
SFRU7150,830152,193-1,363
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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