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OI Points To Mix Of Short Setting & Long Cover Across Most Of SOFR Strip On Friday

STIR

The combination of the general move lower in SOFR futures on Friday and preliminary OI data points to the following net positioning swings ahead of the weekend:

  • Whites: An apparent mix of short cover (SFRZ3), long cover (SFRH4 & U4) and short setting (SFRM4)
  • Reds: An apparent mix of net long cover (SFRH5 & U5) and short setting (SFRZ4 & M5), with the latter slightly more pronounced in net pack terms.
  • Greens: Apparent net long cover was seen in all contracts.
  • Blues: An apparent mix of net short setting (SFRZ6 & U7) and long cover (SFRH7 & M7), with the latter dominating in net pack terms.
26-Jan-2425-Jan-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,201,8131,203,023-1,210Whites+5,653
SFRH41,215,4791,230,139-14,660Reds+1,794
SFRM41,146,3871,123,208+23,179Greens-24,531
SFRU4990,925992,581-1,656Blues-2,768
SFRZ41,045,4881,039,767+5,721
SFRH5536,504539,678-3,174
SFRM5649,665640,326+9,339
SFRU5567,190577,282-10,092
SFRZ5623,759636,298-12,539
SFRH6418,607422,465-3,858
SFRM6416,532419,122-2,590
SFRU6297,393302,937-5,544
SFRZ6268,720266,899+1,821
SFRH7131,752135,166-3,414
SFRM7147,446148,811-1,365
SFRU7148,860148,670+190
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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