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 |
