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OI Points To Mix Of Short Setting & Long Cover In SOFR Futures On Wednesday

STIR

The combination of yesterday's downtick in SOFR futures and preliminary OI data point to a relatively modest round of net positioning swings on Wednesday, consisting of net short setting and net long cover.

  • The whites and greens seemingly saw long cover in net pack terms, while the reds and blues seemed to have a bias towards net short setting.
  • Feedthrough from the European short end and broader weakness in bonds factored into price action on Wednesday, with little input from the Jan '24 FOMC meeting minutes.
21-Feb-2420-Feb-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,127,7381,128,061-323Whites-7,513
SFRH41,114,5881,124,766-10,178Reds+4,196
SFRM41,084,4901,084,842-352Greens-1,492
SFRU4846,643843,303+3,340Blues+1,564
SFRZ41,123,4081,118,487+4,921
SFRH5656,634650,867+5,767
SFRM5688,448684,473+3,975
SFRU5646,012656,479-10,467
SFRZ5742,714743,132-418
SFRH6513,246510,958+2,288
SFRM6496,366500,893-4,527
SFRU6307,720306,555+1,165
SFRZ6306,870304,846+2,024
SFRH7169,604170,956-1,352
SFRM7159,882159,482+400
SFRU7156,410155,918+492
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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