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SOFR Long Cover Dominated Front End Positioning Swings On Wednesday

STIR

The combination of yesterday’s SOFR price action and preliminary open interest data point to long cover dominating in the whites and reds on Wednesday, although the picture is less clear in the front of the whites, where prices were flat.

  • Further out, the greens saw the setting of fresh shorts dominate on net.
  • The blues saw little net movement when it came to OI on the whole, as long cover and fresh shorts mostly offset.
09-Aug-2308-Aug-23Daily OI ChangeDaily OI Change In Packs
SFRM31,120,8361,121,499-663Whites-19,497
SFRU31,134,8821,146,132-11,250Reds-15,657
SFRZ31,277,2181,278,681-1,463Greens+7,806
SFRH4901,473907,594-6,121Blues-1,450
SFRM4837,642838,146-504
SFRU4766,931769,722-2,791
SFRZ4743,215750,429-7,214
SFRH5527,901533,049-5,148
SFRM5606,047600,041+6,006
SFRU5453,272452,568+704
SFRZ5392,872390,039+2,833
SFRH6256,483258,220-1,737
SFRM6203,436206,107-2,671
SFRU6148,269146,982+1,287
SFRZ6180,785180,334+451
SFRH7127,855128,372-517
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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