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

STIR

The combination of yesterday's move lower across most of the SOFR futures strip and preliminary OI data points to the following mix of positioning swings to start the week.

  • Whites: A mix of net short setting (SFRH4 & M4) and net long cover (SFRU4). It is harder to be sure when it comes to the movement in SFRZ3 given its unchanged price status on the day.
  • Reds: Apparent long cover across all contracts.
  • Greens: Apparent net short setting across all contracts.
  • Blues: A mix of net short setting (SFRZ6 & H7) and net long cover (SFRM7 & U7), with the former dominating in net pack terms.
  • A reminder that the stronger-than-expected ISM services survey (particularly the prices paid and employment components) provided a major input for yesterday's move lower in futures. Fedspeak also factored in.
05-Feb-2402-Feb-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,210,9021,206,004+4,898Whites+19,498
SFRH41,181,2521,152,507+28,745Reds-26,738
SFRM41,054,6841,046,509+8,175Greens+32,736
SFRU4881,076903,396-22,320Blues+6,050
SFRZ41,039,2901,056,158-16,868
SFRH5588,479593,693-5,214
SFRM5659,014661,186-2,172
SFRU5597,971600,455-2,484
SFRZ5675,372661,712+13,660
SFRH6423,462414,439+9,023
SFRM6446,674438,799+7,875
SFRU6306,153303,975+2,178
SFRZ6270,678268,847+1,831
SFRH7148,807144,137+4,670
SFRM7154,974155,407-433
SFRU7144,224144,242-18
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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