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

STIR

Yesterday's uptick in SOFR futures and preliminary OI data points to a mix of net short cover and long setting in the whites, with the latter dominating in net pack terms.

  • The reds through blues were titled towards net short cover, although pockets of net long setting were also seen.
  • The latest ECB decision and Fed Chair Powell's latest comments dominated ahead of today's NFP release.
07-Mar-2406-Mar-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,226,0031,227,153-1,150Whites+10,412
SFRH41,040,4421,079,962-39,520Reds-2,184
SFRM41,089,0411,085,494+3,547Greens-26,816
SFRU4926,706879,171+47,535Blues-7,244
SFRZ41,131,4701,118,413+13,057
SFRH5679,038673,664+5,374
SFRM5714,182719,345-5,163
SFRU5640,466655,918-15,452
SFRZ5688,437712,328-23,891
SFRH6466,701475,591-8,890
SFRM6483,100476,870+6,230
SFRU6339,671339,936-265
SFRZ6336,935336,317+618
SFRH7189,726189,915-189
SFRM7181,447184,304-2,857
SFRU7147,824152,640-4,816
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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