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SOFR OI Suggests Short Cover Dominated In Whites On Fri, While Reds Saw Fresh Shorts Set

STIR

The combination of price action and preliminary open interest data indicate that Friday saw short cover in SFRM3 through SFRZ3, while SFRH4 saw fresh shorts added. The reds & greens saw a mix of long cover and fresh shorts added. Meanwhile, the blues saw a mix of short additions, short cover, longs added and long cover.

  • A reminder that the front end of the whites and the back end of the blues firmed on Friday, while the remainder of the strip covered above cheapened, with net changes of -3.5bp to +1.0bp observed.
21-Jul-2320-Jul-23Daily OI ChangeDaily OI Change In Packs
SFRM31,110,8571,115,310-4,453Whites-12,661
SFRU31,108,8231,109,905-1,082Reds+13,765
SFRZ31,305,0391,323,584-18,545Greens-332
SFRH4848,610837,191+11,419Blues+619
SFRM4773,816777,243-3,427
SFRU4749,634742,862+6,772
SFRZ4760,571751,151+9,420
SFRH5537,312536,312+1,000
SFRM5466,059468,809-2,750
SFRU5405,806403,484+2,322
SFRZ5328,761329,125-364
SFRH6235,800235,340+460
SFRM6178,753177,618+1,135
SFRU6144,038144,106-68
SFRZ6171,658174,168-2,510
SFRH7119,900117,838+2,062
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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