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OI points To Mix Of Short & Long Setting On Monday

STIR

The combination of Monday’s twist flattening of the SOFR strip and preliminary open interest data point to the following positioning swings:

  • Whites: Short setting seemed to dominate.
  • Reds: Long setting seemed to dominate
  • Greens: Apparent long setting was seen throughout the pack.
  • Blues: Long setting seemed to dominate on a pack basis, although that came from one contract (SFRZ6), with apparent short cover seen elsewhere.
  • The apparent net impact of the long setting in the reds through blues comfortably outweighed the net impact of the apparent short setting in the whites.
23-Oct-2320-Oct-23Daily OI ChangeDaily OI Change In Packs
SFRU3934,290933,687+603Whites+8,859
SFRZ31,537,9031,533,699+4,204Reds+12,855
SFRH41,042,7491,029,636+13,113Greens+28,014
SFRM4969,363978,424-9,061Blues+1,772
SFRU4836,651828,846+7,805
SFRZ4965,816972,757-6,941
SFRH5534,893533,598+1,295
SFRM5588,099577,403+10,696
SFRU5530,590514,296+16,294
SFRZ5550,814547,961+2,853
SFRH6346,225342,016+4,209
SFRM6303,974299,316+4,658
SFRU6250,449250,751-302
SFRZ6192,954188,926+4,028
SFRH7133,749134,074-325
SFRM7130,021131,650-1,629
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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