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OI Suggests Short Setting Dominated On SONIA Strip On Tuesday

STIR

The combination of yesterday's general move lower across SONIA futures and OI data points to net short setting as the dominant positioning factor across the SONIA futures strip on Tuesday. A few modest rounds of apparent long cover bucked the wider theme when it came to net positioning moves in contract terms, although net short setting remained the dominant factor through the blues in net pack terms. A reminder that this came as BoE-dated OIS showed below 100bp of cuts for '24.

23-Jan-2422-Jan-24Daily OI ChangeDaily OI Change In Packs
SFIZ3195,365194,916+449Whites+24,855
SFIH4186,997183,092+3,905Reds+11,464
SFIM4186,174178,645+7,529Greens+2,277
SFIU4206,655193,683+12,972Blues+3,096
SFIZ4256,240259,533-3,293
SFIH5164,195155,428+8,767
SFIM5133,343127,315+6,028
SFIU595,35795,395-38
SFIZ5105,763104,128+1,635
SFIH684,89584,489+406
SFIM655,67557,104-1,429
SFIU639,62537,960+1,665
SFIZ644,10742,240+1,867
SFIH732,34631,898+448
SFIM719,66019,160+500
SFIU711,41911,138+281
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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