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OI Points to Net Long Setting & Short Cover In SOFR Futures On Tuesday

STIR

The combination of yesterday's rally in SOFR futures and preliminary OI data points to net long setting in the whites and blues and net short cover in the reds and greens.

  • Some exceptions were seen when inspecting on a contract-by-contract level, but those were the broader trends.
  • Net long setting in SFRH4 & SFRZ6, along with the net short cover in SFRH6, caught the eye.
  • A reminder that continued weakness in Apple shares and a relatively soft ISM services survey were seen as the major drivers of yesterday's rally.
05-Mar-2404-Mar-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,227,6401,227,438+202Whites+29,830
SFRH41,090,3701,072,710+17,660Reds-2,268
SFRM41,089,7281,082,842+6,886Greens-12,197
SFRU4876,833871,751+5,082Blues+14,534
SFRZ41,099,6751,101,467-1,792
SFRH5674,921673,720+1,201
SFRM5717,576716,976+600
SFRU5657,716659,993-2,277
SFRZ5702,869703,403-534
SFRH6473,751484,924-11,173
SFRM6477,969481,833-3,864
SFRU6336,252332,878+3,374
SFRZ6328,480313,212+15,268
SFRH7190,122191,996-1,874
SFRM7182,910180,910+2,000
SFRU7148,495149,355-860
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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