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OI Points to Mixed Positioning Swings On SOFR Strip On Monday

STIR

The combination of preliminary open interest data and yesterday’s twist flattening of the SOFR strip pointed to the following positioning swings on Monday:

  • Net short setting seemingly dominating in the whites.
  • An unclear picture in the reds given the unchanged status of SFRZ4 on the day. SFRM4 & SFRU4 seemingly saw longs cut, as did SFRH5.
  • The greens seemingly saw short cover dominate.
  • The blues seemingly saw the setting of fresh longs dominate.
28-Aug-2325-Aug-23Daily OI ChangeDaily OI Change In Packs
SFRM31,122,8401,119,584+3,256Whites+22,587
SFRU31,065,0011,059,464+5,537Reds+4,071
SFRZ31,281,3521,279,633+1,719Greens-14,549
SFRH4975,648963,573+12,075Blues+5,767
SFRM4854,635863,844-9,209
SFRU4776,297777,522-1,225
SFRZ4800,916785,444+15,472
SFRH5516,511517,478-967
SFRM5609,532623,224-13,692
SFRU5488,977489,028-51
SFRZ5436,231442,790-6,559
SFRH6282,596276,843+5,753
SFRM6230,976225,964+5,012
SFRU6159,621156,544+3,077
SFRZ6186,638186,562+76
SFRH7124,840127,238-2,398
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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