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OI Points To Short Setting & Long Cover On SOFR Strip Since Friday

STIR

The combination of preliminary OI data and the move lower in SOFR futures since Friday's settlement points to a mix of short setting and long cover over that timeframe.

  • Whites: Long cover was seemingly seen across all contracts, generating a sizeable swing in net pack OI.
  • Reds: A more modest round of net long cover was seen across the pack, with apparent short setting in SFRZ4, M5 & U5 more than offset by apparent long cover in SFRH5.
  • Greens: Relatively sizeable short setting was seemingly seen across SFRZ5, SFRH6 & SFRM6, while SFRU6 seemed to be subjected to modest long cover.
  • Blues: Apparent long cover in SFRH7 & M7 comfortably outweighed apparent (modest) short setting in SFRZ6 & U7.
  • Hawkish (vs. market pricing) Fedspeak promoted these positoning swings.
16-Jan-2412-Jan-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,194,2241,199,986-5,762Whites-149,596
SFRH41,177,3061,199,507-22,201Reds-3,710
SFRM41,110,7171,186,322-75,605Greens+49,744
SFRU4958,7861,004,814-46,028Blues-8,749
SFRZ41,048,8101,048,344+466
SFRH5531,957541,646-9,689
SFRM5639,582637,769+1,813
SFRU5573,406569,706+3,700
SFRZ5577,966547,997+29,969
SFRH6423,502407,888+15,614
SFRM6418,459413,953+4,506
SFRU6301,904302,249-345
SFRZ6263,219262,730+489
SFRH7135,869142,835-6,966
SFRM7145,007147,659-2,652
SFRU7154,328153,948+380
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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