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OI Suggests Long Setting Dominated On SOFR Strip On Thursday

STIR

The combination of yesterday's move higher across most of the SOFR strip and preliminary OI data points to the following positioning swings on Thursday:

  • Net long setting seemed to be the dominant positioning factor across all packs through the blues.
  • The whites saw the largest swing in net pack OI terms, while SFRM4 saw the largest contract-specific OI swing.
  • There were some pockets of apparent short cover, but such instances were limited in OI terms.
11-Jan-2410-Jan-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,204,4851,207,013-2,528Whites+85,925
SFRH41,175,0761,163,591+11,485Reds+29,644
SFRM41,139,4391,078,295+61,144Greens+3,969
SFRU4975,656959,832+15,824Blues+10,925
SFRZ41,008,090988,983+19,107
SFRH5537,960528,238+9,722
SFRM5603,523603,341+182
SFRU5564,155563,522+633
SFRZ5564,776566,441-1,665
SFRH6408,397408,499-102
SFRM6390,808385,435+5,373
SFRU6304,708304,345+363
SFRZ6270,999260,004+10,995
SFRH7137,219137,075+144
SFRM7138,829137,627+1,202
SFRU7149,513150,929-1,416
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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