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

STIR

The mix of yesterday’s bear steepening of the SOFR strip and preliminary open interest data points to a blend of short setting and long cover across the SOFR strip on Monday.

  • Whites: Apparent notable long cover in SFRZ3 was enough to tilt overall white pack positioning in that direction.
  • Reds: Saw the most sizable net OI swing on a pack basis, with apparent net short setting seen in each contract.
  • Greens & Blues: Seemingly saw relatively modest net short setting on a pack basis, with pockets of net long cover seen within each pack.
06-Nov-2303-Nov-23Daily OI ChangeDaily OI Change In Packs
SFRU3931,730924,134+7,596Whites-13,748
SFRZ31,568,6931,604,771-36,078Reds+59,240
SFRH41,187,9751,171,749+16,226Greens+2,249
SFRM41,055,5241,057,016-1,492Blues+5,576
SFRU4970,270966,865+3,405
SFRZ4972,652949,660+22,992
SFRH5512,978486,343+26,635
SFRM5585,844579,636+6,208
SFRU5546,670542,273+4,397
SFRZ5584,277584,856-579
SFRH6342,231341,517+714
SFRM6285,142287,425-2,283
SFRU6276,331270,368+5,963
SFRZ6208,642208,697-55
SFRH7134,923133,722+1,201
SFRM7120,867122,400-1,533
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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