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OI Points To Mixed SOFR Positioning Swings On Friday, Short Cover In SFRU3 The Most Notable

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The combination of Friday’s price action and preliminary open interest data point to the following positioning swings:

  • The whites seemingly saw mixed moves. The unchanged status of SFRM3 and SFRZ3 reveals little in the way of clues re: positioning swings. SFRU3 ticked higher on the day, while open interest in the contract saw a notable fall, which points to short cover being at work. SFRH4 ticked lower, with OI also lower, pointing to a reduction in longs in net terms.
  • Apparent reduction in longs across the reds.
  • Net short setting in both the green and the blue packs.
15-Sep-2314-Sep-23Daily OI ChangeDaily OI Change In Packs
SFRM31,106,6971,107,348-651Whites-101,318
SFRU31,108,6431,192,480-83,837Reds-18,407
SFRZ31,306,9691,314,001-7,032Greens+5,402
SFRH4992,8301,002,628-9,798Blues+4,302
SFRM4921,376922,044-668
SFRU4832,331845,257-12,926
SFRZ4895,060898,903-3,843
SFRH5525,745526,715-970
SFRM5595,503595,243+260
SFRU5484,458481,721+2,737
SFRZ5437,486434,894+2,592
SFRH6296,616296,803-187
SFRM6253,139248,722+4,417
SFRU6168,193172,850-4,657
SFRZ6173,709171,132+2,577
SFRH7127,682125,717+1,965
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The combination of Friday’s price action and preliminary open interest data point to the following positioning swings:

  • The whites seemingly saw mixed moves. The unchanged status of SFRM3 and SFRZ3 reveals little in the way of clues re: positioning swings. SFRU3 ticked higher on the day, while open interest in the contract saw a notable fall, which points to short cover being at work. SFRH4 ticked lower, with OI also lower, pointing to a reduction in longs in net terms.
  • Apparent reduction in longs across the reds.
  • Net short setting in both the green and the blue packs.
15-Sep-2314-Sep-23Daily OI ChangeDaily OI Change In Packs
SFRM31,106,6971,107,348-651Whites-101,318
SFRU31,108,6431,192,480-83,837Reds-18,407
SFRZ31,306,9691,314,001-7,032Greens+5,402
SFRH4992,8301,002,628-9,798Blues+4,302
SFRM4921,376922,044-668
SFRU4832,331845,257-12,926
SFRZ4895,060898,903-3,843
SFRH5525,745526,715-970
SFRM5595,503595,243+260
SFRU5484,458481,721+2,737
SFRZ5437,486434,894+2,592
SFRH6296,616296,803-187
SFRM6253,139248,722+4,417
SFRU6168,193172,850-4,657
SFRZ6173,709171,132+2,577
SFRH7127,682125,717+1,965