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OI Suggests Net Short Cover In SOFR Whites & Greens Dominated On Friday

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Friday’s light rally in SOFR futures and preliminary OI data points to net short cover as the dominant pre-weekend positioning factor in the whites and greens. Meanwhile, modest net long setting was seen in the red and blue packs (in net pack terms).

  • A reminder that contracts across the strip finished comfortably shy of session highs, with rhetoric from both Israel and Iran seemingly playing down the odds of further imminent military action in light of the tepid Israeli response to the Iranian-led attack.
19-Apr-2418-Apr-24Daily OI ChangeDaily OI Change In Packs
SFRH4937,957936,700+1,257Whites-26,937
SFRM41,125,3921,161,104-35,712Reds+2,896
SFRU4971,449973,208-1,759Greens-12,307
SFRZ41,218,4471,209,170+9,277Blues+678
SFRH5728,026724,571+3,455
SFRM5803,574812,465-8,891
SFRU5679,293680,610-1,317
SFRZ5807,831798,182+9,649
SFRH6488,189485,538+2,651
SFRM6494,002508,621-14,619
SFRU6373,072372,366+706
SFRZ6338,428339,473-1,045
SFRH7230,115227,590+2,525
SFRM7187,952190,903-2,951
SFRU7170,711169,367+1,344
SFRZ7149,547149,787-240
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Friday’s light rally in SOFR futures and preliminary OI data points to net short cover as the dominant pre-weekend positioning factor in the whites and greens. Meanwhile, modest net long setting was seen in the red and blue packs (in net pack terms).

  • A reminder that contracts across the strip finished comfortably shy of session highs, with rhetoric from both Israel and Iran seemingly playing down the odds of further imminent military action in light of the tepid Israeli response to the Iranian-led attack.
19-Apr-2418-Apr-24Daily OI ChangeDaily OI Change In Packs
SFRH4937,957936,700+1,257Whites-26,937
SFRM41,125,3921,161,104-35,712Reds+2,896
SFRU4971,449973,208-1,759Greens-12,307
SFRZ41,218,4471,209,170+9,277Blues+678
SFRH5728,026724,571+3,455
SFRM5803,574812,465-8,891
SFRU5679,293680,610-1,317
SFRZ5807,831798,182+9,649
SFRH6488,189485,538+2,651
SFRM6494,002508,621-14,619
SFRU6373,072372,366+706
SFRZ6338,428339,473-1,045
SFRH7230,115227,590+2,525
SFRM7187,952190,903-2,951
SFRU7170,711169,367+1,344
SFRZ7149,547149,787-240