The combination of yesterday’s richening on the SOFR strip and preliminary open interest data point to the following positioning swings on Tuesday:

  • Whites: Long setting apparent on a net pack basis, with only SFRH4 seeing apparent short cover.
  • Reds: Short cover appeared to dominate, although that was largely a product of a sizable OI swing in SFRU4, with little net change through the rest of the pack as apparent rounds of short cover and long setting virtually offset.
  • Greens & Blues: Small rounds of apparent net short cover were seen on a pack basis, although some apparent pockets of long setting were also noted.
  • A reminder that a firmer-than-expected ISM services survey (save the employment sub-index) and softer-than-expected JOLTS job openings print factored into price action on the day, as did dovish communique from the ECB. The two latter inputs outweighed the former in net terms.
  • Still, pricing re: cumulative Fed cuts through ’24 failed to revisit Friday’s dovish extreme.
05-Dec-23 04-Dec-23 Daily OI Change Daily OI Change In Packs
SFRU3 1,109,362 1,085,809 +23,553 Whites +61,750
SFRZ3 1,511,147 1,466,584 +44,563 Reds -95,239
SFRH4 1,076,616 1,084,354 -7,738 Greens -3,498
SFRM4 1,003,129 1,001,757 +1,372 Blues -6,530
SFRU4 884,026 977,848 -93,822
SFRZ4 926,340 924,492 +1,848
SFRH5 544,175 539,599 +4,576
SFRM5 593,460 601,301 -7,841
SFRU5 617,972 626,916 -8,944
SFRZ5 560,445 564,011 -3,566
SFRH6 414,864 410,905 +3,959
SFRM6 358,858 353,805 +5,053
SFRU6 319,950 323,893 -3,943
SFRZ6 252,506 258,340 -5,834
SFRH7 151,092 150,962 +130
SFRM7 140,469 137,352 +3,117

STIR: OI Points to Mix Of Long Setting & short cover For SOFR On Tuesday

Last updated at:Dec-06 11:35By: Anthony Barton

The combination of yesterday’s richening on the SOFR strip and preliminary open interest data point to the following positioning swings on Tuesday:

  • Whites: Long setting apparent on a net pack basis, with only SFRH4 seeing apparent short cover.
  • Reds: Short cover appeared to dominate, although that was largely a product of a sizable OI swing in SFRU4, with little net change through the rest of the pack as apparent rounds of short cover and long setting virtually offset.
  • Greens & Blues: Small rounds of apparent net short cover were seen on a pack basis, although some apparent pockets of long setting were also noted.
  • A reminder that a firmer-than-expected ISM services survey (save the employment sub-index) and softer-than-expected JOLTS job openings print factored into price action on the day, as did dovish communique from the ECB. The two latter inputs outweighed the former in net terms.
  • Still, pricing re: cumulative Fed cuts through ’24 failed to revisit Friday’s dovish extreme.
05-Dec-23 04-Dec-23 Daily OI Change Daily OI Change In Packs
SFRU3 1,109,362 1,085,809 +23,553 Whites +61,750
SFRZ3 1,511,147 1,466,584 +44,563 Reds -95,239
SFRH4 1,076,616 1,084,354 -7,738 Greens -3,498
SFRM4 1,003,129 1,001,757 +1,372 Blues -6,530
SFRU4 884,026 977,848 -93,822
SFRZ4 926,340 924,492 +1,848
SFRH5 544,175 539,599 +4,576
SFRM5 593,460 601,301 -7,841
SFRU5 617,972 626,916 -8,944
SFRZ5 560,445 564,011 -3,566
SFRH6 414,864 410,905 +3,959
SFRM6 358,858 353,805 +5,053
SFRU6 319,950 323,893 -3,943
SFRZ6 252,506 258,340 -5,834
SFRH7 151,092 150,962 +130
SFRM7 140,469 137,352 +3,117