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OI Suggests Net Short Setting Dominated In SOFR Futures On Monday

STIR

Yesterday’s downtick in most SOFR futures points to net short setting as the dominant positioning factor through the greens, albeit with pockets of net long cover also seen.

  • Price movements were limited on the day, leaving most to point to pre-Powell positioning adjustments after the recent run of net long setting/short cover.
08-Jul-2405-Jul-24Daily OI ChangeDaily OI Change In Packs
SFRM41,200,1151,190,998+9,117Whites+17,304
SFRU41,104,9261,117,407-12,481Reds+34,601
SFRZ41,075,3611,062,844+12,517Greens+1,813
SFRH5826,424818,273+8,151Blues-7,549
SFRM5769,538753,879+15,659
SFRU5669,001659,032+9,969
SFRZ5833,263828,771+4,492
SFRH6563,283558,802+4,481
SFRM6487,645483,194+4,451
SFRU6421,623417,681+3,942
SFRZ6386,277388,893-2,616
SFRH7250,171254,135-3,964
SFRM7243,253245,368-2,115
SFRU7186,169184,598+1,571
SFRZ7170,240178,548-8,308
SFRH8115,861114,558+1,303
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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