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OI suggests Long Cover Dominated SOFR Positioning On Wednesday

STIR

The combination of yesterday’s price action and preliminary open interest data points to long cover as the dominant SOFR positioning factor on Wednesday.

  • The positioning move was seemingly most prominent in the reds.
  • It seems that only two contracts through the blues saw fresh (modest) shorts added in net terms, SFRU6 & SFRZ6.
06-Sep-2305-Sep-23Daily OI ChangeDaily OI Change In Packs
SFRM31,130,5111,132,853-2,342Whites-21,681
SFRU31,132,5171,148,246-15,729Reds-44,916
SFRZ31,266,8771,268,805-1,928Greens-17,649
SFRH4974,167975,849-1,682Blues-753
SFRM4867,509885,309-17,800
SFRU4798,615800,701-2,086
SFRZ4861,743875,196-13,453
SFRH5530,723542,300-11,577
SFRM5592,604597,045-4,441
SFRU5483,382486,863-3,481
SFRZ5422,021429,229-7,208
SFRH6288,657291,176-2,519
SFRM6234,848236,749-1,901
SFRU6162,672162,128+544
SFRZ6175,522174,290+1,232
SFRH7124,969125,597-628
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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