The combination of yesterday’s light bear steepening of the SOFR strip and preliminary OI data indicates that net long cover was the dominant positioning move in the whites, while net short setting was seemingly seen in the reds through blues.
| 16-Aug-23 | 15-Aug-23 | Daily OI Change | Daily OI Change In Packs | ||
| SFRM3 | 1,124,329 | 1,124,022 | +307 | Whites | -33,856 |
| SFRU3 | 1,060,672 | 1,086,672 | -26,000 | Reds | +12,824 |
| SFRZ3 | 1,230,542 | 1,249,506 | -18,964 | Greens | +4,398 |
| SFRH4 | 914,695 | 903,894 | +10,801 | Blues | +7,383 |
| SFRM4 | 835,986 | 836,084 | -98 | ||
| SFRU4 | 775,890 | 775,901 | -11 | ||
| SFRZ4 | 757,017 | 746,807 | +10,210 | ||
| SFRH5 | 529,122 | 526,399 | +2,723 | ||
| SFRM5 | 624,444 | 619,747 | +4,697 | ||
| SFRU5 | 480,508 | 478,559 | +1,949 | ||
| SFRZ5 | 437,813 | 435,599 | +2,214 | ||
| SFRH6 | 272,707 | 277,169 | -4,462 | ||
| SFRM6 | 223,177 | 221,079 | +2,098 | ||
| SFRU6 | 155,212 | 152,116 | +3,096 | ||
| SFRZ6 | 180,093 | 178,484 | +1,609 | ||
| SFRH7 | 132,655 | 132,075 | +580 |
