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OI Points To Mixed SOFR Positioning Swings Ahead Of CPI

STIR

The combination of Monday’s price action and preliminary OI data point to the following net positioning swings at the start of the week:

  • Whites: An apparent mix of long setting (SFRU3), short setting (SFRZ3), long cover (SFRH4) & short cover (SFRM4).
  • Reds: An apparent mix of short cover (SFRU4-SFRH5) and short setting {SFRM5), with the former dominating in net terms.
  • Greens: An apparent mix of modest long cover (SFRU5) and short setting (SFRZ5-M6), with the latter dominating in net terms.
  • Blues: A mix of short setting (SFRU6 & M7) & long cover (SFRZ6-H7), with the latter dominating in net terms.
  • The mix of positioning swings comes ahead of today's CPI release and after long setting dominated in recent weeks alongside the dovish Fed repricing (which has moved back from extremes).
11-Dec-2308-Dec-23Daily OI ChangeDaily OI Change In Packs
SFRU31,186,6791,175,653+11,026Whites+28,582
SFRZ31,529,2341,499,521+29,713Reds-16,284
SFRH41,109,5281,109,837-309Greens+8,677
SFRM4989,8701,001,718-11,848Blues-3,140
SFRU4896,481906,259-9,778
SFRZ4977,048987,008-9,960
SFRH5554,637556,514-1,877
SFRM5611,283605,952+5,331
SFRU5603,037603,119-82
SFRZ5569,286561,953+7,333
SFRH6413,637413,367+270
SFRM6370,286369,130+1,156
SFRU6319,620319,096+524
SFRZ6243,578245,874-2,296
SFRH7147,436149,858-2,422
SFRM7141,792140,738+1,054
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
BulletMarketsFixed Income BulletsHomepage
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
BulletMarketsFixed Income BulletsHomepage

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