OI Suggests Fresh Longs Dominated SOFR Positioning Swings On Wednesday

SFRM3 finished incrementally lower on Wednesday, with preliminary open interest data suggesting that move was driven by a reduction of existing longs. The remainder of the quarterly SOFR strip finished firmer on the day, aided by Fed Chair Powell’s post-meeting rhetoric. That price action combined with preliminary open interest data pointed to the addition of fresh longs and trimming of net shorts from SFRU3 through the blues. The most notable net OI swing through the blues came in the form of fresh longs being added in the greens, with smaller additions seen in the whites and reds, while the blues saw a fairly small reduction of existing shorts in net terms.