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OI Points to Mix Of SOFR Futures Positioning Swings On Tuesday

STIR

The combination of yesterday’s mixed movement in SOFR futures and preliminary OI data points to the following net positioning swings:

  • Whites: Net long setting (SFRH4) and net short setting (SFRU4). It is hard to give any inference re: SFRZ3 & SFRM4 as prices were unchanged,
  • Reds: A mix of net long cover and net short setting, which generally offset in net pack terms.
  • Greens: Hard to be sure outside of what seemed to be net short setting in SFRU6.
  • Blues: Hard to be sure outside of some net short setting in SFRM7 & U7.
27-Feb-2426-Feb-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,122,1821,123,045-863Whites-9,825
SFRH41,115,9141,114,843+1,071Reds+1,327
SFRM41,098,3251,118,923-20,598Greens+25,706
SFRU4867,179856,614+10,565Blues+3,300
SFRZ41,134,7901,135,977-1,187
SFRH5672,780676,949-4,169
SFRM5720,574721,153-579
SFRU5650,935643,673+7,262
SFRZ5739,678722,886+16,792
SFRH6502,660487,549+15,111
SFRM6487,830508,305-20,475
SFRU6337,147322,869+14,278
SFRZ6304,408303,514+894
SFRH7186,721186,905-184
SFRM7177,812176,855+957
SFRU7152,463150,830+1,633
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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