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OI Points To Mix Of SOFR Positioning Swings On Friday

STIR

Friday's twist flattening of the SOFR futures strip and preliminary open interest data points to the following positioning swings ahead of the weekend:

  • Whites: A mix of net long cover (SFRH4) and net long setting {SFRU4). It is hard to be certain with SFRZ3 & SFRM4 positioning swings given their unchanged price status at settlement.
  • Reds: An apparent mix of net long setting and net short cover, with the former dominating.
  • Greens: An apparent mix of net long setting and net short cover, with the latter dominating.
  • Blues: An apparent mix of net long setting and net short cover, with the former dominating.
23-Feb-2422-Feb-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,125,8391,127,119-1,280Whites-5,797
SFRH41,105,4731,129,226-23,753Reds+7,156
SFRM41,097,6281,082,150+15,478Greens-18,059
SFRU4852,469848,711+3,758Blues+23,000
SFRZ41,131,8001,118,990+12,810
SFRH5673,574671,949+1,625
SFRM5707,914708,160-246
SFRU5643,476650,509-7,033
SFRZ5760,032757,618+2,414
SFRH6490,236514,006-23,770
SFRM6511,197505,441+5,756
SFRU6311,434313,893-2,459
SFRZ6306,878305,823+1,055
SFRH7178,742173,625+5,117
SFRM7181,857163,385+18,472
SFRU7152,193153,837-1,644
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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