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SOFR: OI Points To CPI Driving SOFR Short Setting On Thursday, Pockets Of Long Cover Seen

STIR

The combination of preliminary open interest readings and yesterday’s CPI-induced cheapening in SOFR futures points to short setting as the dominant positioning factor through the blues on Thursday.

  • SOFR whites, reds and blues seemingly saw shorts set on net in pack terms (pockets of long cover were seen on a contract-by-contract basis), although the greens seemingly saw long cover in net terms
12-Oct-2311-Oct-23Daily OI ChangeDaily OI Change In Packs
SFRU3955,506961,663-6,157Whites+22,222
SFRZ31,435,3621,427,573+7,789Reds+22,714
SFRH4973,287964,394+8,893Greens-4,446
SFRM4938,369926,672+11,697Blues+29,938
SFRU4841,945830,506+11,439
SFRZ4951,258932,278+18,980
SFRH5538,083532,559+5,524
SFRM5572,684585,913-13,229
SFRU5483,820490,830-7,010
SFRZ5501,585500,974+611
SFRH6314,278311,700+2,578
SFRM6292,356292,981-625
SFRU6229,140225,995+3,145
SFRZ6210,721187,772+22,949
SFRH7128,515122,256+6,259
SFRM7134,689137,104-2,415
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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