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OI Points To Short Setting Dominating On The SOFR Strip On Monday

STIR

The combination of yesterday’s modest bear steepening on the SOFR strip and preliminary open interest data point to the setting of fresh shorts dominating from a positioning perspective through the blues.

  • All 4 packs in that sector of the curve seemingly saw net short additions.
  • The most sizeable net short addition came in the whites, while the most modest net adjustment was seen in the greens.
  • 4 of the 16 contracts through the blues seemingly saw longs trimmed in net terms, with one such contract located in each pack.
11-Sep-2308-Sep-23Daily OI ChangeDaily OI Change In Packs
SFRM31,120,4261,121,278-852Whites+35,878
SFRU31,145,2361,127,803+17,433Reds+14,397
SFRZ31,280,7481,266,406+14,342Greens+1,438
SFRH4968,536963,581+4,955Blues+4,917
SFRM4898,217889,494+8,723
SFRU4807,962804,220+3,742
SFRZ4872,584862,793+9,791
SFRH5530,352538,211-7,859
SFRM5578,372577,340+1,032
SFRU5485,907490,056-4,149
SFRZ5427,411423,862+3,549
SFRH6289,477288,471+1,006
SFRM6245,882241,124+4,758
SFRU6163,900163,787+113
SFRZ6173,003172,956+47
SFRH7126,289126,290-1
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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