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OI Points To Notable Short Cover In SOFR Whites & Reds On Tuesday

STIR

The combination of yesterday’s bull flattening of the SOFR strip and preliminary OI data points to the following positioning swings on Tuesday:

  • Whites: Notable short cover seemingly seen, with the largest net pack OI swing on the strip.
  • Reds: Slightly more contained, but still notable, short cover when compared to the whites.
  • Greens: Long setting seemed to dominate, with SFRM6 the only contract that seemingly saw short cover on net.
  • Blues: Little net change in OI means that any long setting virtually offset any apparent pockets of short cover in that pack.
07-Nov-2306-Nov-23Daily OI ChangeDaily OI Change In Packs
SFRU3928,635931,845-3,210Whites-115,002
SFRZ31,515,3311,567,506-52,175Reds-57,500
SFRH41,152,1731,186,576-34,403Greens+14,721
SFRM41,028,1251,053,339-25,214Blues+328
SFRU4945,164970,272-25,108
SFRZ4964,539972,647-8,108
SFRH5498,012512,981-14,969
SFRM5576,530585,845-9,315
SFRU5548,576546,759+1,817
SFRZ5596,695584,277+12,418
SFRH6346,257342,231+4,026
SFRM6281,645285,185-3,540
SFRU6275,983276,332-349
SFRZ6208,803208,643+160
SFRH7136,862134,922+1,940
SFRM7119,444120,867-1,423
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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