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SOFR Sees Mixed Positioning Swings On Friday, Short Cover Seemed To Dominate

STIR

The combination of Friday’s richening and preliminary open interest data point to net long setting in the white and reds.

  • Still, larger net short cover was seemingly seen across the greens and blues, leaving that as the dominant factor on the strip on the day.
22-Sep-2321-Sep-23Daily OI ChangeDaily OI Change In Packs
SFRM31,067,1141,060,828+6,286Whites+4,849
SFRU31,302,8551,302,814+41Reds+12,699
SFRZ3988,270997,746-9,476Greens-26,544
SFRH4893,223885,225+7,998Blues-1,295
SFRM4780,522768,785+11,737
SFRU4920,775926,795-6,020
SFRZ4536,514528,108+8,406
SFRH5575,257576,681-1,424
SFRM5501,109505,748-4,639
SFRU5505,880518,969-13,089
SFRZ5318,043324,460-6,417
SFRH6248,662251,061-2,399
SFRM6196,801196,462+339
SFRU6183,188186,587-3,399
SFRZ6131,020131,490-470
SFRM7134,365132,130+2,235
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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