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OI Points to Mix Of SONIA Futures Positioning Swings On Thursday

STIR

The combination of Thursday's twist flattening of the SONIA futures strip and preliminary OI data points to the following positioning swings on Thursday:

  • Whites: Net long cover in all contracts outside of what appeared to be net short setting in SFIH4. The former dominated in net pack terms.
  • Reds: Net long setting was seemingly seen in all contracts outside of some apparent short cover in SFIH5.
  • Greens: A mix of apparent net long setting and short cover which essentially offset in net pack terms.
  • Blues: Modest net short cover in all contracts.
  • A reminder that a slightly more hawkish than markets had expected initial BoE outcome was tempered by some dovish snippers in the post-meeting press conference/projections/statement, before U.S. matters (soft ULC data and banking sector worry) came to the fore.
01-Feb-2431-Jan-24Daily OI ChangeDaily OI Change In Packs
SFIZ3187,645192,343-4,698Whites-6,615
SFIH4205,758202,822+2,936Reds+7,056
SFIM4185,110185,240-130Greens-143
SFIU4205,882210,605-4,723Blues-1,579
SFIZ4263,034257,075+5,959
SFIH5167,778168,904-1,126
SFIM5133,456132,159+1,297
SFIU594,19393,267+926
SFIZ5112,626115,353-2,727
SFIH679,39179,652-261
SFIM657,84055,955+1,885
SFIU640,91039,950+960
SFIZ645,77646,720-944
SFIH735,95936,268-309
SFIM723,06523,332-267
SFIU714,27114,330-59
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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