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

STIR

The combination of yesterday's slight net softening on the SOFR strip and preliminary OI data points to the following positioning swings on Tuesday:

  • Whites: An apparent mix of short setting and long cover, with the former dominating the pack in net terms.
  • Reds: An apparent mix of short setting and long cover, with the former dominating the pack in net terms. Note that the net pack OI swing was driven by short setting in only one contract (SFRZ4).
  • Greens: Apparent net short setting was seen through the pack, driving the biggest net OI swing in pack terms.
  • Blues: An apparent mix of short setting and long cover, with the latter dominating in net pack terms (driven solely by SFRH7)
09-Jan-2408-Jan-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,208,0131,205,992+2,021Whites+19,322
SFRH41,149,7831,154,957-5,174Reds+8,482
SFRM41,069,1881,060,939+8,249Greens+24,494
SFRU4944,963930,737+14,226Blues-2,719
SFRZ4982,305960,428+21,877
SFRH5527,734536,433-8,699
SFRM5607,488610,744-3,256
SFRU5573,563575,003-1,440
SFRZ5562,273546,687+15,586
SFRH6410,361404,635+5,726
SFRM6384,041382,025+2,016
SFRU6304,647303,481+1,166
SFRZ6264,725262,689+2,036
SFRH7136,309141,589-5,280
SFRM7138,760138,730+30
SFRU7151,805151,310+495
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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