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Thursday’s SOFR Price Action Saw Longs Added In Whites & Reds, Shorts Cut In Greens & Blues

STIR

Preliminary open interest data reveals that long auditions drove yesterday’s rally through SFRZ4, while short covering was seen in SFRH5. This came as participants reacted to softer than expected PPI readings and a lower-than-expected weekly initial jobless claims print which provided a surprise downtick, while continued adjustment to Wednesday’s softer than expected CPI print was also observed.

  • That resulted in long additions on net in the white and red packs, with net OI changes in the white pack more prominent than what was seen in the reds.
  • Meanwhile, the greens and the blues saw short covering.
  • The back end of the reds and front end of the greens outperformed the rest of the strip on the day.
13-Jul-2312-Jul-23Daily OI ChangeDaily OI Change In Packs
SFRU31,128,7661,125,857+2,909Whites+58,450
SFRZ31,300,6601,273,696+26,964Reds+13,042
SFRH4771,500757,890+13,610Greens-11,472
SFRM4738,936723,969+14,967Blues-8,126
SFRU4739,558737,460+2,098
SFRZ4753,769742,305+11,464
SFRH5552,762555,491-2,729
SFRM5482,216480,007+2,209
SFRU5419,122422,791-3,669
SFRZ5323,766329,613-5,847
SFRH6229,296231,385-2,089
SFRM6172,802172,669+133
SFRU6140,716143,907-3,191
SFRZ6164,147165,320-1,173
SFRH7108,429111,546-3,117
SFRM7111,400112,045-645
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
BulletMarketsFixed Income BulletsHomepage
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
BulletMarketsFixed Income BulletsHomepage

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