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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 move lower in SOFR futures and preliminary OI data point to net short setting as the dominant factor in the whites, greens and blues, while net long cover dominated in the reds.

  • The most meaningful swing in contract specific OI came via apparent net short setting in SFRH4 (the rest of the whites saw modest long cover).
  • This may have been linked to hedging against option trades, with little in the way of meaningful outright futures trades seen on the day.
  • Today's CPI release will obviously be key for price action.
11-Mar-2408-Mar-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,223,2361,224,125-889Whites+62,703
SFRH41,097,6201,031,962+65,658Reds-20,723
SFRM41,094,9031,095,366-463Greens+12,900
SFRU4888,747890,350-1,603Blues+6,628
SFRZ41,110,4461,122,560-12,114
SFRH5674,297677,603-3,306
SFRM5707,904710,144-2,240
SFRU5627,765630,828-3,063
SFRZ5693,940697,861-3,921
SFRH6468,840459,955+8,885
SFRM6490,344484,259+6,085
SFRU6345,286343,435+1,851
SFRZ6343,360339,355+4,005
SFRH7191,709190,650+1,059
SFRM7180,972181,548-576
SFRU7150,185148,045+2,140
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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