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OI Points To Pre-Labour Market Data Cover In SONIA Whites & Reds

STIR

Yesterday’s movement on the SONIA futures strip and OI data point to the following net positioning swings:

  • Whites: A mix of net short cover and net short setting.
  • Reds: Net short cover was seemingly seen in all contracts.
  • Greens & Blues: Modest net long setting in both packs.
  • Pre-labour market positioning adjustment seemed to drive positioning swings in the whites and reds.
  • That came after SONIA futures recovered from recent lows over the last couple of weeks.
  • SONIA futures rallied in the wake of today's data release, which pointed to a continued loosening of the labour market.
  • Markets continue to fully discount the first 25bp BoE cut come the end of the August MPC, with close to 75bp of total '24 cuts showing.
11-Mar-2408-Mar-24Daily OI ChangeDaily OI Change In Packs
SFIZ3190,001190,050-49Whites-3,062
SFIH4192,215189,621+2,594Reds-12,944
SFIM4262,388262,978-590Greens+894
SFIU4207,580212,597-5,017Blues+1,399
SFIZ4298,674305,641-6,967
SFIH5184,995185,074-79
SFIM5149,984152,366-2,382
SFIU5119,863123,379-3,516
SFIZ5156,275157,209-934
SFIH6104,744103,295+1,449
SFIM665,81165,620+191
SFIU647,87647,688+188
SFIZ653,84453,057+787
SFIH738,80438,421+383
SFIM728,72528,832-107
SFIU721,48421,148+336
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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