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

STIR

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
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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