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OI Points To Mix Of Positioning Swings On SOFR Strip On Tuesday

STIR

The combination of yesterday's price action and preliminary OI data points to the following positioning swings on the SOFR futures strip on Tuesday:

  • Whites: An apparent mix of net long setting (SFRZ3) and net short setting (SFRH4, M4 & U4).
  • Reds: An apparent mix of modest net short setting (SFRZ4 & H5) and net short cover (SFRM5 & U5).
  • Greens: An apparent mix of net short cover (SFRZ5 & H6) and net long setting (SFRM6 & U6). The short cover seemed to dominate on a pack basis.
  • Blues: An apparent mix of net long setting (SFRZ6) and short cover (SFRH7, M7 & U7). The short cover seemed to dominate on a pack basis.
26-Dec-2322-Dec-23Daily OI ChangeDaily OI Change In Packs
SFRZ31,318,2241,302,404+15,820Whites+28,649
SFRH41,128,8771,125,156+3,721Reds-5,320
SFRM41,098,9911,094,172+4,819Greens-1,633
SFRU4944,039939,750+4,289Blues-2,210
SFRZ4909,542909,409+133
SFRH5561,453560,805+648
SFRM5607,060609,887-2,827
SFRU5574,164577,438-3,274
SFRZ5550,597551,340-743
SFRH6418,305421,893-3,588
SFRM6378,100377,308+792
SFRU6308,992307,086+1,906
SFRZ6248,972247,405+1,567
SFRH7149,749151,184-1,435
SFRM7139,920140,694-774
SFRU7152,192153,760-1,568
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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