SOFR: Net Long Setting In Front Of Reds On Thursday
OI data points to relatively contained net positioning adjustments as most SOFR futures rallied on Thursday. The most concentrated round of positioning swings came via net long setting SFRZ6-M7 futures, with a mix of net long setting and short cover seen across the remainder of the strip.
| 12-Feb-26 | 11-Feb-26 | Daily OI Change |
| Daily OI Change In Packs |
SFRZ5 | 1,347,476 | 1,344,870 | +2,606 | Whites | -7,792 |
SFRH6 | 1,305,492 | 1,310,681 | -5,189 | Reds | +39,966 |
SFRM6 | 1,434,588 | 1,433,790 | +798 | Greens | -9,132 |
SFRU6 | 1,401,977 | 1,407,984 | -6,007 | Blues | +5,096 |
SFRZ6 | 1,447,556 | 1,430,582 | +16,974 |
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SFRH7 | 959,849 | 953,176 | +6,673 |
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SFRM7 | 941,410 | 921,232 | +20,178 |
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SFRU7 | 865,833 | 869,692 | -3,859 |
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SFRZ7 | 1,032,379 | 1,037,340 | -4,961 |
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SFRH8 | 534,097 | 534,981 | -884 |
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SFRM8 | 466,268 | 462,688 | +3,580 |
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SFRU8 | 394,754 | 401,621 | -6,867 |
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SFRZ8 | 383,157 | 383,531 | -374 |
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SFRH9 | 228,344 | 223,420 | +4,924 |
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SFRM9 | 198,976 | 199,699 | -723 |
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SFRU9 | 172,028 | 170,759 | +1,269 |
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OPTIONS: Expiries for Jan14 NY cut 1000ET (Source DTCC)
- EUR/USD: $1.1535(E1.1bln), $1.1595-05(E1.6bln), $1.1700-05(E1.1bln), $1.1800(E722mln), $1.1850(E1.4bln)
- USD/JPY: Y157.00-05($1.1bln), Y158.00($702mln), Y159.00($548mln)
- GBP/USD: $1.3525-30(Gbp645mln)
US TSY FUTURES: Long Setting In TY Dominated On Tuesday
OI data points to net long setting in most contracts as Tsy futures ticked higher on Tuesday, with that theme only interrupted by net short cover in US futures. TY futures provided the largest net DV01 positioning swing on the day (~$5.1mln).
| 13-Jan-26 | 12-Jan-26 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,469,368 | 4,464,369 | +4,999 | +191,005 |
FV | 6,714,924 | 6,712,433 | +2,491 | +108,436 |
TY | 5,692,840 | 5,615,712 | +77,128 | +5,130,080 |
UXY | 2,583,955 | 2,582,702 | +1,253 | +112,759 |
US | 1,807,345 | 1,817,918 | -10,573 | -1,473,038 |
WN | 2,107,796 | 2,102,811 | +4,985 | +920,406 |
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| Total | +80,283 | +4,989,649 |
SONIA OPTIONS: Vol Trade
SFIH6 96.45^, sold at 8.75 in 1.5k.
