December 12, 2024 11:42 GMT
STIR: Mix Of Long & Short Setting Seen In SOFR Futures On Wendesday
STIR
OI data points to net long setting in the whites during Wednesday’s twist steepening of the SOFR futures strip, with net short setting then dominating further out.
- See previous STIR bullet for greater colour on recent market moves and the latest run of Fed pricing.
|
11-Dec-24
10-Dec-24
Daily OI Change
Daily OI Change In Packs
SFRU4
1,218,852
1,218,564
+288
Whites
+68,561
SFRZ4
1,387,357
1,348,499
+38,858
Reds
+24,915
SFRH5
1,091,610
1,082,419
+9,191
Greens
+4,679
SFRM5
1,026,144
1,005,920
+20,224
Blues
+1,492
SFRU5
805,974
806,945
-971
SFRZ5
958,791
937,042
+21,749
SFRH6
565,351
557,714
+7,637
SFRM6
633,489
636,989
-3,500
SFRU6
630,700
629,374
+1,326
SFRZ6
712,584
712,240
+344
SFRH7
420,264
419,897
+367
SFRM7
364,658
362,016
+2,642
SFRU7
286,392
290,575
-4,183
SFRZ7
292,162
287,554
+4,608
SFRH8
200,431
199,366
+1,065
SFRM8
156,764
156,762
+2
Keep reading...Show less
63 words