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OI Points To Mix Of Short Setting & Long Cover In SOFR Futures On Wednesday
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-24 | 20-Feb-24 | Daily OI Change | Daily OI Change In Packs | ||
SFRZ3 | 1,127,738 | 1,128,061 | -323 | Whites | -7,513 |
SFRH4 | 1,114,588 | 1,124,766 | -10,178 | Reds | +4,196 |
SFRM4 | 1,084,490 | 1,084,842 | -352 | Greens | -1,492 |
SFRU4 | 846,643 | 843,303 | +3,340 | Blues | +1,564 |
SFRZ4 | 1,123,408 | 1,118,487 | +4,921 | ||
SFRH5 | 656,634 | 650,867 | +5,767 | ||
SFRM5 | 688,448 | 684,473 | +3,975 | ||
SFRU5 | 646,012 | 656,479 | -10,467 | ||
SFRZ5 | 742,714 | 743,132 | -418 | ||
SFRH6 | 513,246 | 510,958 | +2,288 | ||
SFRM6 | 496,366 | 500,893 | -4,527 | ||
SFRU6 | 307,720 | 306,555 | +1,165 | ||
SFRZ6 | 306,870 | 304,846 | +2,024 | ||
SFRH7 | 169,604 | 170,956 | -1,352 | ||
SFRM7 | 159,882 | 159,482 | +400 | ||
SFRU7 | 156,410 | 155,918 | +492 |
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Why MNI
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