Free Trial

STIR: OI Signals Short Cover In SOFR, Possible SFRZ4/Z5 Steepener Unwinds

STIR

OI data points to net short cover in most SOFR futures on Friday, as PCE data helped pull contracts away from the multi-month lows registered around last week’s FOMC decision.

  • This is an approximation given that SFRZ4 was unchanged at settlement time.
  • Also note that the fairly sizeable reduction in both SFRZ4 & Z5 OI means that spread activity in SFRZ4/Z5 may have factored into positioning swings, via unwinds of existing steepener positions.

 

Keep reading...Show less
90 words

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.

OI data points to net short cover in most SOFR futures on Friday, as PCE data helped pull contracts away from the multi-month lows registered around last week’s FOMC decision.

  • This is an approximation given that SFRZ4 was unchanged at settlement time.
  • Also note that the fairly sizeable reduction in both SFRZ4 & Z5 OI means that spread activity in SFRZ4/Z5 may have factored into positioning swings, via unwinds of existing steepener positions.

 

Keep reading...Show less