The mix of preliminary open interest data and Friday’s twist steepening through the SOFR blues points to the following positioning swings ahead of the weekend.
- Whites: SFRU3 seemed to see some light fresh longs added on net. However, it seemed to be long cover that dominated activity in the pack, given the modest tick lower in SFRZ3-M4 prices and downticks in OI in those contracts.
- Reds: Apparent net short setting dominated on the pack front, with only SFRU4 seemingly seeing net long cover.
- Greens & Blues: Little net movement in pack OI with pockets of apparent net short setting generally offset by pockets of apparent long cover.
| 17-Nov-23 | 16-Nov-23 | Daily OI Change | Daily OI Change In Packs | ||
| SFRU3 | 951,826 | 949,848 | +1,978 | Whites | -63,842 |
| SFRZ3 | 1,399,888 | 1,445,328 | -45,440 | Reds | +18,089 |
| SFRH4 | 1,110,843 | 1,126,461 | -15,618 | Greens | +974 |
| SFRM4 | 1,017,854 | 1,022,616 | -4,762 | Blues | -904 |
| SFRU4 | 909,109 | 914,909 | -5,800 | ||
| SFRZ4 | 897,477 | 891,542 | +5,935 | ||
| SFRH5 | 519,776 | 511,975 | +7,801 | ||
| SFRM5 | 565,003 | 554,850 | +10,153 | ||
| SFRU5 | 547,240 | 546,435 | +805 | ||
| SFRZ5 | 557,916 | 552,462 | +5,454 | ||
| SFRH6 | 379,285 | 383,339 | -4,054 | ||
| SFRM6 | 310,751 | 311,982 | -1,231 | ||
| SFRU6 | 300,697 | 303,659 | -2,962 | ||
| SFRZ6 | 238,936 | 239,026 | -90 | ||
| SFRH7 | 139,926 | 139,952 | -26 | ||
| SFRM7 | 129,927 | 127,753 | +2,174 |
