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

STIR

The combination of yesterday's move higher in SOFR futures and preliminary OI data points to the following positioning swings on Monday:

  • Whites: Net short cover was seemingly seen in all contracts outside of what looked to be net long setting in SFRH4, with the former dominating in net pack terms.
  • Reds: An apparent mix of net long setting (SFRH5 & U5) and net short cover (SFRZ4 & M5), with the former dominating in net pack terms.
  • Greens: Net long cover was seemingly seen in all contracts outside of some apparent short cover in SFRH6, with the former dominating in net pack terms.
  • Blues: A mix of net long setting (SFRH7 & M7) and net short cover (SFRZ6 & U7), with the former dominating in net pack terms.
  • All net pack OI swings, and indeed the contract specific moves, were relatively contained.
29-Jan-2426-Jan-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,200,5631,201,813-1,250Whites-8,790
SFRH41,231,9251,225,989+5,936Reds+8,961
SFRM41,138,4681,145,556-7,088Greens+4,605
SFRU4983,824990,212-6,388Blues+2,366
SFRZ41,038,6821,039,588-906
SFRH5541,886535,880+6,006
SFRM5646,614649,665-3,051
SFRU5574,101567,189+6,912
SFRZ5624,882621,759+3,123
SFRH6415,472418,607-3,135
SFRM6418,710416,532+2,178
SFRU6299,832297,393+2,439
SFRZ6267,670268,110-440
SFRH7133,297131,735+1,562
SFRM7148,692147,365+1,327
SFRU7148,777148,860-83
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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