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SFRZ5 OI The Standout In Futures On Tuesday Amidst Steepener Flow And Elevated Volumes

STIR

The combination of yesterday’s sell off in most SOFR futures and preliminary OI data points to a mix of short setting in the whites and reds, along with long cover in the greens and the blues (all in net pack OI terms).

  • The standout came via an apparent surge in net shorts in SFRZ5, which was seemingly linked to steepener activity in the SFRZ4/Z5 spread given elevated volume and fresh multi-month highs in that spread.
  • A reminder that production data & Fedspeak from senior officials (Powell & Jefferson) factored into yesterday’s extension of the unwind of Fed rate cut premium.
16-Apr-2415-Apr-24Daily OI ChangeDaily OI Change In Packs
SFRH4937,428930,190+7,238Whites+31,567
SFRM41,169,0891,178,191-9,102Reds+149,572
SFRU4962,642949,093+13,549Greens-15,917
SFRZ41,202,5831,182,701+19,882Blues-2,666
SFRH5713,503710,305+3,198
SFRM5814,888813,504+1,384
SFRU5690,422678,403+12,019
SFRZ5809,480676,509+132,971
SFRH6487,449490,030-2,581
SFRM6503,276508,536-5,260
SFRU6367,061375,469-8,408
SFRZ6357,384357,052+332
SFRH7223,850222,712+1,138
SFRM7193,010192,875+135
SFRU7168,150170,650-2,500
SFRZ7159,010160,449-1,439
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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