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STIR: OI Points To Short Setting Further Out The SOFR Strip On Thursday

STIR
BulletMarketsFixed Income Bullets

Long cover seemed to provide the most prominent positioning move in white SOFR futures on Thursday, although net pack OI was only a little lower on the day in the grander scheme of things.

  • Short setting then seemed to dominate further out the strip, with only limited pockets of apparent long cover identified beyond the whites.
  • Long end swings seemed to dominate on the day, with little reaction to the data.
  • Note that yesterday’s final OI data provided notable adjustments from the sizable swings seen in the preliminary readings. We did indicate our doubts surrounding the accuracy of the initial readings in yesterday’s SOFR OI bullet.

 

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Long cover seemed to provide the most prominent positioning move in white SOFR futures on Thursday, although net pack OI was only a little lower on the day in the grander scheme of things.

  • Short setting then seemed to dominate further out the strip, with only limited pockets of apparent long cover identified beyond the whites.
  • Long end swings seemed to dominate on the day, with little reaction to the data.
  • Note that yesterday’s final OI data provided notable adjustments from the sizable swings seen in the preliminary readings. We did indicate our doubts surrounding the accuracy of the initial readings in yesterday’s SOFR OI bullet.

 

Keep reading...Show less