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

STIR

The mix of yesterday’s twist steepening on the SOFR futures strip and preliminary OI data follows to the following net positioning swings on Wednesday:

  • Whites: Net long setting in SFRH4 through SFRU4. It is hard to be sure when it comes to SFRZ4 given its unchanged price status on the day.
  • Reds: A mix of net long cover and net short setting, with the latter being the prominent in net pack OI terms.
  • Greens: A mix of net short setting and net long cover, with the former being slightly more prominent in net pack OI terms.
  • Blues: A mix of net short setting and net long cover, with the former being slightly more prominent in net pack OI terms.
  • Cross-market impulses provided much of the pressure for SOFR futures.
  • ~32.5bp of ’24 cuts are priced into FOMC-dated OIS.
29-May-2428-May-24Daily OI ChangeDaily OI Change In Packs
SFRH4920,192919,846+346Whites+12,746
SFRM41,252,0121,239,034+12,978Reds+17,936
SFRU41,144,4041,139,928+4,476Greens+2,287
SFRZ41,227,6211,232,675-5,054Blues+5,494
SFRH5811,458812,799-1,341
SFRM5804,316809,066-4,750
SFRU5712,253701,469+10,784
SFRZ5785,172771,929+13,243
SFRH6570,450560,644+9,806
SFRM6518,127514,733+3,394
SFRU6416,400435,202-18,802
SFRZ6364,284356,395+7,889
SFRH7263,276261,363+1,913
SFRM7185,341183,141+2,200
SFRU7163,911167,102-3,191
SFRZ7159,692155,120+4,572
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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