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OI Suggests Mixed Positioning Swings On Tuesday, Notable Long Setting In SFRU5

STIR

Preliminary open interest data and the twist flattening of the SOFR strip through the blues on Tuesday point to the following positioning swings:

  • Whites: An apparent mix of short setting (SFRZ3), long setting (SFRH4) & short cover (SFRM4). It's hard to be definitive re: SFRU3 positioning, as the price level was unchanged on the day.
  • Reds: Net long setting was seemingly seen across the pack.
  • Greens: Apparent net long setting in SFRU5 dominated in pack terms. A mix of net long setting and short cover was seemingly seen elsewhere in the pack.
  • Blues: Net short cover was seemingly seen across the pack.
21-Nov-2320-Nov-23Daily OI ChangeDaily OI Change In Packs
SFRU3965,887958,497+7,390Whites+21,625
SFRZ31,380,5901,368,873+11,717Reds+15,777
SFRH41,122,1651,113,174+8,991Greens+25,667
SFRM41,009,4051,015,878-6,473Blues-10,359
SFRU4917,255913,682+3,573
SFRZ4892,077889,611+2,466
SFRH5525,744522,029+3,715
SFRM5586,356580,333+6,023
SFRU5583,260549,935+33,325
SFRZ5537,614546,049-8,435
SFRH6376,967375,751+1,216
SFRM6312,351312,790-439
SFRU6297,817299,025-1,208
SFRZ6237,428239,882-2,454
SFRH7135,086140,462-5,376
SFRM7130,331131,652-1,321
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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