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OI Suggests Long Setting In SOFR Whites & Reds Dominated On Monday

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The combination of yesterday’s twist flattening of the SOFR futures strip and preliminary OI data points to the following net positioning swings on Monday.

  • Whites: Net long cover in SFRH4 & M4 and net long setting in SFRZ4. Positioning movement in SFRU4 is clouded by the contract’s unchanged priced status come settlement, but we would point to net long setting in that contract if we had to guess.
  • Reds: Net long setting was seemingly seen in all contracts.
  • Greens & Blues: Rounds of net long setting and net short cover generally offset when it came to net pack OI movement.
  • Year-end FOMC-dated OIS was little changed on the day, showing about 35bp of cuts.
29-Apr-2426-Apr-24Daily OI ChangeDaily OI Change In Packs
SFRH4923,634926,962-3,328Whites+36,390
SFRM41,126,9991,128,558-1,559Reds+34,263
SFRU41,009,447995,928+13,519Greens+1,336
SFRZ41,215,4321,187,674+27,758Blues-378
SFRH5744,876735,594+9,282
SFRM5823,018821,363+1,655
SFRU5719,707710,885+8,822
SFRZ5814,424799,920+14,504
SFRH6484,408484,771-363
SFRM6515,947514,855+1,092
SFRU6391,316384,682+6,634
SFRZ6345,030351,057-6,027
SFRH7234,463228,693+5,770
SFRM7183,159184,399-1,240
SFRU7165,159167,486-2,327
SFRZ7140,130142,711-2,581
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The combination of yesterday’s twist flattening of the SOFR futures strip and preliminary OI data points to the following net positioning swings on Monday.

  • Whites: Net long cover in SFRH4 & M4 and net long setting in SFRZ4. Positioning movement in SFRU4 is clouded by the contract’s unchanged priced status come settlement, but we would point to net long setting in that contract if we had to guess.
  • Reds: Net long setting was seemingly seen in all contracts.
  • Greens & Blues: Rounds of net long setting and net short cover generally offset when it came to net pack OI movement.
  • Year-end FOMC-dated OIS was little changed on the day, showing about 35bp of cuts.
29-Apr-2426-Apr-24Daily OI ChangeDaily OI Change In Packs
SFRH4923,634926,962-3,328Whites+36,390
SFRM41,126,9991,128,558-1,559Reds+34,263
SFRU41,009,447995,928+13,519Greens+1,336
SFRZ41,215,4321,187,674+27,758Blues-378
SFRH5744,876735,594+9,282
SFRM5823,018821,363+1,655
SFRU5719,707710,885+8,822
SFRZ5814,424799,920+14,504
SFRH6484,408484,771-363
SFRM6515,947514,855+1,092
SFRU6391,316384,682+6,634
SFRZ6345,030351,057-6,027
SFRH7234,463228,693+5,770
SFRM7183,159184,399-1,240
SFRU7165,159167,486-2,327
SFRZ7140,130142,711-2,581