Free Trial

OI Points to Mix Of SOFR Short Setting & Long Cover On Friday

STIR

The combination of Friday's move lower in SOFR futures and preliminary OI data point to the following net positioning swings:

  • Whites: Apparent net short setting seen across the pack.
  • Reds: Apparent rounds of net long cover (SFRZ4 & M5) outweigh apparent rounds of net short setting (SFRH5 & U5) in net pack terms.
  • Greens: Net short setting was seemingly seen across all contracts.
  • Blues: Modest net long cover was seemingly seen across the board.
  • The apparent net short setting seen in the whites and greens provided the dominant net curve positioning impulse, with the apparent net long cover in the reds and blues far more modest in OI terms.
19-Jan-2418-Jan-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,196,3341,195,142+1,192Whites+38,934
SFRH41,194,2431,165,604+28,639Reds-8,766
SFRM41,096,8681,094,675+2,193Greens+19,815
SFRU4981,600974,690+6,910Blues-1,796
SFRZ41,016,5281,031,648-15,120
SFRH5546,917545,812+1,105
SFRM5639,669640,587-918
SFRU5573,732567,565+6,167
SFRZ5611,921597,198+14,723
SFRH6424,304421,350+2,954
SFRM6423,636421,833+1,803
SFRU6300,153299,818+335
SFRZ6256,479256,823-344
SFRH7137,645138,443-798
SFRM7145,090145,404-314
SFRU7151,832152,172-340
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.