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OI Points to SOFR Short Cover On Thursday

STIR

The combination of yesterday’s richening on the SOFR strip and preliminary open interest data indicate that short cover was the dominant factor through the blues from a net positioning perspective on Thursday.

  • The most notable round of apparent net short cover was seen in the whites (on a pack basis), with the net moves tiered down through the blues.
  • The most sizable round of apparent net short cover at the individual contract level came in SFRZ4.
  • There also seemed to be some light net fresh long additions scattered across the strip e.g. (SFRZ4 was the only red contract that seemed to see short cover on net).
07-Sep-2306-Sep-23Daily OI ChangeDaily OI Change In Packs
SFRM31,125,4431,130,511-5,068Whites-36,577
SFRU31,120,4211,134,788-14,367Reds-8,139
SFRZ31,253,6931,270,109-16,416Greens-6,869
SFRH4972,346973,072-726Blues-1,829
SFRM4873,162867,722+5,440
SFRU4803,252799,642+3,610
SFRZ4844,410861,774-17,364
SFRH5530,896530,721+175
SFRM5584,622592,412-7,790
SFRU5482,890483,382-492
SFRZ5419,844422,021-2,177
SFRH6292,247288,657+3,590
SFRM6236,169234,848+1,321
SFRU6161,455162,909-1,454
SFRZ6173,440175,522-2,082
SFRH7125,355124,969+386
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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