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OI Points To Significant Long Building In SOFR Whites & Reds Post-Powell

STIR

The combination of preliminary open interest data and yesterday’s twist steepening of the SOFR strip point to the following positioning swings on Thursday:

  • Whites & Reds: Notable apparent long setting through both packs. Fed Chair Powell’s dovish leaning rhetoric re: the Fed’s dual mandate was the most obvious trigger for that swing.
  • Greens: Seemingly dominated by short setting.
  • Blues: Long cover seemed to dominate.
  • For the greens and the blues, the twist steepening of the Tsy curve generally managed to more than offset the post-Powell impulse when it came to net price action on the day.
19-Oct-2318-Oct-23Daily OI ChangeDaily OI Change In Packs
SFRU3933,053929,995+3,058Whites+111,451
SFRZ31,509,3561,455,217+54,139Reds+75,959
SFRH41,005,618976,467+29,151Greens+34,136
SFRM4968,100942,997+25,103Blues-32,415
SFRU4831,653792,181+39,472
SFRZ4996,438991,572+4,866
SFRH5531,170512,405+18,765
SFRM5586,312573,456+12,856
SFRU5518,776501,827+16,949
SFRZ5537,656533,089+4,567
SFRH6339,971331,104+8,867
SFRM6301,591297,838+3,753
SFRU6245,899244,745+1,154
SFRZ6195,612225,622-30,010
SFRH7136,939139,780-2,841
SFRM7133,785134,503-718
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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