The combination of preliminary open interest data and yesterday’s twist flattening of the SOFR strip pointed to the following positioning swings on Monday:

  • Net short setting seemingly dominating in the whites.
  • An unclear picture in the reds given the unchanged status of SFRZ4 on the day. SFRM4 & SFRU4 seemingly saw longs cut, as did SFRH5.
  • The greens seemingly saw short cover dominate.
  • The blues seemingly saw the setting of fresh longs dominate.
28-Aug-23 25-Aug-23 Daily OI Change Daily OI Change In Packs
SFRM3 1,122,840 1,119,584 +3,256 Whites +22,587
SFRU3 1,065,001 1,059,464 +5,537 Reds +4,071
SFRZ3 1,281,352 1,279,633 +1,719 Greens -14,549
SFRH4 975,648 963,573 +12,075 Blues +5,767
SFRM4 854,635 863,844 -9,209
SFRU4 776,297 777,522 -1,225
SFRZ4 800,916 785,444 +15,472
SFRH5 516,511 517,478 -967
SFRM5 609,532 623,224 -13,692
SFRU5 488,977 489,028 -51
SFRZ5 436,231 442,790 -6,559
SFRH6 282,596 276,843 +5,753
SFRM6 230,976 225,964 +5,012
SFRU6 159,621 156,544 +3,077
SFRZ6 186,638 186,562 +76
SFRH7 124,840 127,238 -2,398

STIR: OI Points to Mixed Positioning Swings On SOFR Strip On Monday

Last updated at:Aug-29 10:14By: Anthony Barton

The combination of preliminary open interest data and yesterday’s twist flattening of the SOFR strip pointed to the following positioning swings on Monday:

  • Net short setting seemingly dominating in the whites.
  • An unclear picture in the reds given the unchanged status of SFRZ4 on the day. SFRM4 & SFRU4 seemingly saw longs cut, as did SFRH5.
  • The greens seemingly saw short cover dominate.
  • The blues seemingly saw the setting of fresh longs dominate.
28-Aug-23 25-Aug-23 Daily OI Change Daily OI Change In Packs
SFRM3 1,122,840 1,119,584 +3,256 Whites +22,587
SFRU3 1,065,001 1,059,464 +5,537 Reds +4,071
SFRZ3 1,281,352 1,279,633 +1,719 Greens -14,549
SFRH4 975,648 963,573 +12,075 Blues +5,767
SFRM4 854,635 863,844 -9,209
SFRU4 776,297 777,522 -1,225
SFRZ4 800,916 785,444 +15,472
SFRH5 516,511 517,478 -967
SFRM5 609,532 623,224 -13,692
SFRU5 488,977 489,028 -51
SFRZ5 436,231 442,790 -6,559
SFRH6 282,596 276,843 +5,753
SFRM6 230,976 225,964 +5,012
SFRU6 159,621 156,544 +3,077
SFRZ6 186,638 186,562 +76
SFRH7 124,840 127,238 -2,398