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OI Points To Mix Of SOFR Positioning Swings Around Friday's U.S. Data

STIR

The mix of Friday's twisting of the SOFR strip and preliminary OI data points to the following positioning swings ahead of the weekend:

  • Whites: An apparent mix of long setting (SFRH4 & SFRM4) & long cover (SFRU4). It is hard to be sure re: SFRZ3 given unchanged price status on the day.
  • Reds: An apparent mix of long cover and short setting, with the former dominating on a pack basis.
  • Greens & Blues: An apparent mix of short setting and long cover in both packs, with the former dominating in both instances.
  • A reminder that the mix of the generally firmer headline NFP figures/softer details and a very soft print for the employment sub-metric in the ISM services survey provided most of the vol., before a fade into the close.
05-Jan-2404-Jan-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,219,6951,239,034-19,339Whites-5,630
SFRH41,177,1701,156,610+20,560Reds-15,124
SFRM41,057,5091,043,313+14,196Greens+4,350
SFRU4940,394961,441-21,047Blues+9,113
SFRZ4955,234952,273+2,961
SFRH5539,473540,762-1,289
SFRM5615,366628,824-13,458
SFRU5568,959572,297-3,338
SFRZ5546,591541,380+5,211
SFRH6405,468409,649-4,181
SFRM6376,501375,047+1,454
SFRU6300,514298,648+1,866
SFRZ6259,294249,182+10,112
SFRH7145,456145,005+451
SFRM7138,047138,616-569
SFRU7156,607157,488-881
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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