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SOFR Whites Saw Net Long Cover On Friday, Reds Saw Fresh Shorts Set

STIR

The mix of preliminary open interest data and Friday’s twist steepening through the SOFR blues points to the following positioning swings ahead of the weekend.

  • Whites: SFRU3 seemed to see some light fresh longs added on net. However, it seemed to be long cover that dominated activity in the pack, given the modest tick lower in SFRZ3-M4 prices and downticks in OI in those contracts.
  • Reds: Apparent net short setting dominated on the pack front, with only SFRU4 seemingly seeing net long cover.
  • Greens & Blues: Little net movement in pack OI with pockets of apparent net short setting generally offset by pockets of apparent long cover.
17-Nov-2316-Nov-23Daily OI ChangeDaily OI Change In Packs
SFRU3951,826949,848+1,978Whites-63,842
SFRZ31,399,8881,445,328-45,440Reds+18,089
SFRH41,110,8431,126,461-15,618Greens+974
SFRM41,017,8541,022,616-4,762Blues-904
SFRU4909,109914,909-5,800
SFRZ4897,477891,542+5,935
SFRH5519,776511,975+7,801
SFRM5565,003554,850+10,153
SFRU5547,240546,435+805
SFRZ5557,916552,462+5,454
SFRH6379,285383,339-4,054
SFRM6310,751311,982-1,231
SFRU6300,697303,659-2,962
SFRZ6238,936239,026-90
SFRH7139,926139,952-26
SFRM7129,927127,753+2,174
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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