Free Trial

OI Points To Mix Of SOFR Positioning Swings On Wednesday

STIR

The combination of yesterday’s twist flattening on the SOFR strip and preliminary OI data points to the following net positioning swings on Wednesday:

  • Whites: An apparent mix of long cover (SFRZ3 & U4) & short setting (SFRH4 & M4), with little net movement seen in pack OI.
  • Reds: An apparent mix of short setting (SFRZ4), short cover (SFRH5) & long setting (SFRM5 & U5)
  • Greens: Short cover was seemingly seen through the pack.
  • Blues: An apparent mix of short cover (SFRZ6, H7 & M7) and long setting (SFRU7), with the former dominating on a net pack basis.
03-Jan-2402-Jan-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,265,8211,275,826-10,005Whites+907
SFRH41,136,6691,129,444+7,225Reds+14,824
SFRM41,058,7011,054,437+4,264Greens-19,754
SFRU4948,567949,144-577Blues-4,970
SFRZ4956,144946,390+9,754
SFRH5540,144546,168-6,024
SFRM5632,006624,278+7,728
SFRU5577,595574,229+3,366
SFRZ5538,669546,400-7,731
SFRH6410,855414,440-3,585
SFRM6376,544379,621-3,077
SFRU6299,576304,937-5,361
SFRZ6249,818255,161-5,343
SFRH7153,555153,880-325
SFRM7143,361147,363-4,002
SFRU7158,312153,612+4,700
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.