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SOFR Short Cover Seemed to Dominate On Monday

STIR

The combination of yesterday’s ricehning on the SOFR strip and preliminary open interest data point to short cover as the dominant positioning factor on Monday, with only limited pockets of apparent net long setting observed through the blues.

  • The whites saw the largest apparent round of net short cover on a pack basis, with the size of the pack positioning swings then tiered down through the blues.
09-Oct-2306-Oct-23Daily OI ChangeDaily OI Change In Packs
SFRU3983,209986,015-2,806Whites-38,235
SFRZ31,425,4531,434,277-8,824Reds-17,234
SFRH4967,007982,687-15,680Greens-9,392
SFRM4925,509936,434-10,925Blues-1,791
SFRU4830,167836,718-6,551
SFRZ4918,264927,118-8,854
SFRH5543,467545,580-2,113
SFRM5581,041580,757+284
SFRU5492,165493,681-1,516
SFRZ5478,664486,680-8,016
SFRH6307,880309,739-1,859
SFRM6287,495285,496+1,999
SFRU6224,273222,548+1,725
SFRZ6187,877187,415+462
SFRH7125,729128,812-3,083
SFRM7137,304138,199-895
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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