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OI Suggests Mixed Positioning Swings In SOFR Futures On Tuesday

STIR

The combination of yesterday’s mixed movement in SOFR futures and preliminary OI data points to the following net positioning swings on Tuesday:

  • Whites: A mix of net long setting, net long cover and net short setting.
  • Reds: A mix of net long cover, short setting and short cover.
  • Greens & Blues: Short cover seemed to dominate, with light pockets of net long setting seen in some contracts.
26-Mar-2425-Mar-24Daily OI ChangeDaily OI Change In Packs
SFRH4994,378992,724+1,654Whites-15,983
SFRM41,174,8581,173,271+1,587Reds+4,681
SFRU41,021,0251,023,246-2,221Greens-15,328
SFRZ41,129,3831,146,386-17,003Blues-6,244
SFRH5714,596716,265-1,669
SFRM5793,408785,436+7,972
SFRU5653,414654,731-1,317
SFRZ5665,655665,960-305
SFRH6474,987468,002+6,985
SFRM6497,200503,035-5,835
SFRU6378,041388,843-10,802
SFRZ6341,785347,461-5,676
SFRH7234,034236,049-2,015
SFRM7194,222198,671-4,449
SFRU7157,451159,401-1,950
SFRZ7196,948194,778+2,170
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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