Free Trial

OI Signals Mixed SOFR Positioning Swings On Monday, Long Cover In Whites Most Prominent

STIR

The mix of yesterday’s twist flattening on the SOFR strip and preliminary open interest data points to the following positioning swings on the SOFR strip on Monday:

  • Whites: Long cover appeared to dominate, with only SFRU3 seemingly seeing fresh shorts set in net terms.
  • Reds: An apparent mix of short setting, long cover and long setting.
  • Greens: Short cover seemed to dominate on a pack basis, with pockets of apparent long setting noted.
  • Blues: The pack was seemingly tilted towards net long setting, although net short cover was seemingly seen in SFRU6.
20-Nov-2317-Nov-23Daily OI ChangeDaily OI Change In Packs
SFRU3958,498951,826+6,672Whites-59,517
SFRZ31,365,3001,416,252-50,952Reds+16,818
SFRH41,109,8121,120,736-10,924Greens-10,352
SFRM41,015,2581,019,571-4,313Blues+1,916
SFRU4913,509910,147+3,362
SFRZ4890,350896,877-6,527
SFRH5522,617517,970+4,647
SFRM5580,333564,997+15,336
SFRU5549,935547,190+2,745
SFRZ5546,049557,916-11,867
SFRH6375,751379,186-3,435
SFRM6312,790310,585+2,205
SFRU6299,025300,672-1,647
SFRZ6239,871238,936+935
SFRH7140,476139,912+564
SFRM7131,652129,588+2,064
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.