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OI Points To Mix Of Positioning Swings In SOFR Futures On Thursday

STIR

The combination of preliminary OI data and yesterday's twist flattening of the SOFR futures strip points to the following positioning swings on Thursday:

  • Whites: A mix of net long cover and net short setting, with the latter dominating in net pack OI terms.
  • Reds through Greens: Net long setting was seemingly seen in all contracts, although it hard to be certain when it comes to SFRZ4 given its unchanged price status come settlement.
15-Feb-2414-Feb-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,127,3451,132,925-5,580Whites+30,173
SFRH41,149,1741,163,496-14,322Reds+60,133
SFRM41,101,1131,062,134+38,979Greens+33,533
SFRU4850,794839,698+11,096Blues+11,135
SFRZ41,116,7861,090,870+25,916
SFRH5630,263617,557+12,706
SFRM5690,917681,194+9,723
SFRU5636,895625,107+11,788
SFRZ5756,577739,463+17,114
SFRH6484,534473,170+11,364
SFRM6489,983489,154+829
SFRU6312,205307,979+4,226
SFRZ6307,352302,949+4,403
SFRH7163,369161,843+1,526
SFRM7164,691161,560+3,131
SFRU7153,827151,752+2,075
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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