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SFRU5 Positioning Moves Dominate On SOFR Strip Again On Wednesday

STIR

The combination of preliminary open interest data and yesterday's SOFR price action points to the following positioning swings on Wednesday:

  • Whites: The unchanged price status of SFRU3 makes it hard to provide any meaningful inference when it comes to positioning there. Elsewhere in the pack, apparent net long cover was dominant (driven by SFRZ3).
  • Reds: Short setting seemed to dominate on a pack basis, with only SFRZ4 seeing apparent long cover.
  • Greens: Notable apparent short setting on a pack basis, with such swings seen across all contracts. The most notable net OI swing came in SFRU5 (+64,301), which more than cancelled out the apparent sizable round of net long setting seen in the contract on Tuesday (+33,325).
  • Blues: Net short setting was seen in the pack, with pockets of long cover noted.
22-Nov-2321-Nov-23Daily OI ChangeDaily OI Change In Packs
SFRU3969,912954,491+15,421Whites+6,812
SFRZ31,371,9711,380,703-8,732Reds+14,509
SFRH41,124,0291,124,690-661Greens+82,722
SFRM41,012,0281,011,244+784Blues+6,453
SFRU4923,313917,340+5,973
SFRZ4887,980891,088-3,108
SFRH5527,890525,744+2,146
SFRM5595,856586,358+9,498
SFRU5647,561583,260+64,301
SFRZ5544,477537,614+6,863
SFRH6387,630376,967+10,663
SFRM6313,246312,351+895
SFRU6303,303297,817+5,486
SFRZ6237,871237,428+443
SFRH7133,220135,074-1,854
SFRM7132,709130,331+2,378
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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