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OI Suggests Mix Of Short Setting & Long Cover On SOFR Strip On Thursday

STIR

The combination of yesterday’s bearish strip steepening and preliminary open interest data point to a mix of short setting and long cover when it comes to net positioning swings on the SOFR strip on Thursday. The whites and greens saw the setting of shorts dominate, while the reds and blues saw long cover as the more prominent factor.

03-Aug-2302-Aug-23Daily OI ChangeDaily OI Change In Packs
SFRM31,118,6171,117,767+850Whites+21,259
SFRU31,140,9151,139,988+927Reds-17,968
SFRZ31,270,6241,254,823+15,801Greens+11,838
SFRH4884,107880,426+3,681Blues-4,745
SFRM4789,250794,353-5,103
SFRU4743,211744,070-859
SFRZ4762,848773,272-10,424
SFRH5547,631549,213-1,582
SFRM5583,473565,448+18,025
SFRU5449,216451,297-2,081
SFRZ5377,117372,811+4,306
SFRH6256,648265,060-8,412
SFRM6189,646185,120+4,526
SFRU6145,209155,841-10,632
SFRZ6180,027180,104-77
SFRH7126,668125,230+1,438
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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