Free Trial

SOFR OI Indicates Long Cover In Whites & Reds On Thurs, Fresh Green & Blue Shorts Were Added

STIR

The combination of yesterday’s sell off in SOFR futures and preliminary open interest data point to the trimming of existing longs dominating in the whites on Thursday, with SFRH4 the only contract to buck the trend in the pack as it seemingly saw fresh shorts added in net terms. Apparent long trimming in SFRH5 meant that the cover of longs also dominated in the reds, while the adding of fresh shorts provided the prevailing theme in the greens and blues, as the strip bear steepened.

20-Jul-2319-Jul-23Daily OI ChangeDaily OI Change In Packs
SFRM31,115,3101,117,310-2,000Whites-17,589
SFRU31,108,2971,117,904-9,607Reds-8,070
SFRZ31,323,3971,332,531-9,134Greens+17,642
SFRH4843,716840,564+3,152Blues+3,089
SFRM4777,263778,835-1,572
SFRU4742,862741,741+1,121
SFRZ4751,159743,844+7,315
SFRH5536,312551,246-14,934
SFRM5468,809455,608+13,201
SFRU5403,484402,591+893
SFRZ5329,125324,788+4,337
SFRH6235,340236,129-789
SFRM6177,632174,008+3,624
SFRU6144,106146,148-2,042
SFRZ6174,168173,737+431
SFRH7117,855116,779+1,076
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.