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OI Suggests Short setting Dominated In SOFR Futures On Thursday

STIR

The combination of yesterday's move lower in SOFR futures and preliminary OI data points to net short setting as the dominant factor in all packs through the blues.

  • Pockets of apparent net long cover were seen in different areas of the strip, most notably in the blues, but that failed to break the overarching trend.
  • Note that the unchanged price status of SFRZ3 come settlement means that it hard to be certain when it comes to positioning movement on the day, but the OI change in that contract was only very modest.
  • A reminder that weekly jobless claims data and global central bank rhetoric factored into the move in SOFR futures on Thursday.
08-Feb-2407-Feb-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,185,3011,184,567+734Whites+13,811
SFRH41,183,2121,175,033+8,179Reds+5,039
SFRM41,051,7181,044,565+7,153Greens+32,919
SFRU4870,919873,174-2,255Blues+6,304
SFRZ41,061,9351,054,580+7,355
SFRH5604,228602,226+2,002
SFRM5674,799670,186+4,613
SFRU5590,751599,682-8,931
SFRZ5698,266696,466+1,800
SFRH6457,721441,752+15,969
SFRM6475,303463,420+11,883
SFRU6309,098305,831+3,267
SFRZ6283,743273,892+9,851
SFRH7153,103153,602-499
SFRM7149,329150,332-1,003
SFRU7146,094148,139-2,045
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
BulletMarketsFixed Income BulletsHomepage
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
BulletMarketsFixed Income BulletsHomepage

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