December 27, 2024 11:48 GMT
STIR: Mix Of Long Cover & Long Setting Seen In SOFR Futures Thursday
STIR
Long cover seemed to dominate in the 3 front SOFR futures on Thursday, with some focus on year-end funding pressures evident.
- The late rally in the long end provided support further out the SOFR strip, with net long setting more prominent in the greens and blues.
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26-Dec-24
24-Dec-24
Daily OI Change
Daily OI Change In Packs
SFRZ4
1,166,127
1,201,587
-35,460
Whites
-42,451
SFRH5
1,109,021
1,111,572
-2,551
Reds
+7,990
SFRM5
1,016,694
1,025,111
-8,417
Greens
+17,235
SFRU5
851,726
847,749
+3,977
Blues
+7,032
SFRZ5
918,041
915,966
+2,075
SFRH6
561,991
562,482
-491
SFRM6
628,341
623,197
+5,144
SFRU6
617,558
616,296
+1,262
SFRZ6
700,249
689,893
+10,356
SFRH7
442,074
444,985
-2,911
SFRM7
369,072
364,538
+4,534
SFRU7
285,044
279,788
+5,256
SFRZ7
294,715
291,192
+3,523
SFRH8
225,961
226,240
-279
SFRM8
161,766
159,357
+2,409
SFRU8
120,804
119,425
+1,379
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