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Free AccessOI Points To Mix Of SOFR Futures Long Setting & Short Cover On Monday
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-24 | 26-Jan-24 | Daily OI Change | Daily OI Change In Packs | ||
SFRZ3 | 1,200,563 | 1,201,813 | -1,250 | Whites | -8,790 |
SFRH4 | 1,231,925 | 1,225,989 | +5,936 | Reds | +8,961 |
SFRM4 | 1,138,468 | 1,145,556 | -7,088 | Greens | +4,605 |
SFRU4 | 983,824 | 990,212 | -6,388 | Blues | +2,366 |
SFRZ4 | 1,038,682 | 1,039,588 | -906 | ||
SFRH5 | 541,886 | 535,880 | +6,006 | ||
SFRM5 | 646,614 | 649,665 | -3,051 | ||
SFRU5 | 574,101 | 567,189 | +6,912 | ||
SFRZ5 | 624,882 | 621,759 | +3,123 | ||
SFRH6 | 415,472 | 418,607 | -3,135 | ||
SFRM6 | 418,710 | 416,532 | +2,178 | ||
SFRU6 | 299,832 | 297,393 | +2,439 | ||
SFRZ6 | 267,670 | 268,110 | -440 | ||
SFRH7 | 133,297 | 131,735 | +1,562 | ||
SFRM7 | 148,692 | 147,365 | +1,327 | ||
SFRU7 | 148,777 | 148,860 | -83 |
To read the full story
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.