The combination of yesterday's light twist steepening on the SONIA futures strip (come settlement) and OI data points to the following positioning swings:
- Whites: Little clarity out of some apparent modest short cover (SFIZ3) and long cover (SFIU4), given unchanged prices in SFIH4 & M4.
- Reds: A mix of short setting and long cover that essentially offset in net pack OI terms.
- Greens: A mix of short setting and long cover that essentially offset in net pack OI terms.
- Blues: Net short setting in most contracts, with apparent modest net long cover in SFIH7 providing the only exception to the theme.
- Comments from BoE MPC remember Breeden (largely detailing the evolution of her view re: monetary policy and earmarking key, familiar datapoints to watch) had little impact on the space, with matters from further afield providing more impetus for the space.
| 07-Feb-24 | 06-Feb-24 | Daily OI Change | Daily OI Change In Packs | ||
| SFIZ3 | 186,774 | 187,312 | -538 | Whites | +4,001 |
| SFIH4 | 209,727 | 211,781 | -2,054 | Reds | +778 |
| SFIM4 | 219,870 | 212,650 | +7,220 | Greens | +205 |
| SFIU4 | 217,087 | 217,714 | -627 | Blues | +7,151 |
| SFIZ4 | 279,317 | 279,382 | -65 | ||
| SFIH5 | 167,970 | 168,993 | -1,023 | ||
| SFIM5 | 130,992 | 130,474 | +518 | ||
| SFIU5 | 99,958 | 98,610 | +1,348 | ||
| SFIZ5 | 122,517 | 122,328 | +189 | ||
| SFIH6 | 83,584 | 85,139 | -1,555 | ||
| SFIM6 | 61,382 | 59,164 | +2,218 | ||
| SFIU6 | 43,609 | 44,256 | -647 | ||
| SFIZ6 | 50,739 | 48,984 | +1,755 | ||
| SFIH7 | 37,259 | 37,397 | -138 | ||
| SFIM7 | 27,003 | 24,129 | +2,874 | ||
| SFIU7 | 18,551 | 15,891 | +2,660 |
