December 13, 2024 11:00 GMT
STIR: Mix Of Long Cover & Short Setting in SOFR Futures On Thursday
STIR
OI data suggests that short setting was the more prominent positioning factor in the front end of the SOFR futures strip on Thursday, with only isolated rounds of net long cover seen through the reds.
- Long cover then became more prominent further out the strip.
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12-Dec-24
11-Dec-24
Daily OI Change
Daily OI Change In Packs
SFRU4
1,218,241
1,218,852
-611
Whites
+39,445
SFRZ4
1,430,219
1,387,880
+42,339
Reds
+25,258
SFRH5
1,106,435
1,091,483
+14,952
Greens
-4,629
SFRM5
1,008,909
1,026,144
-17,235
Blues
-5,908
SFRU5
813,856
805,974
+7,882
SFRZ5
969,098
962,768
+6,330
SFRH6
578,929
567,351
+11,578
SFRM6
632,957
633,489
-532
SFRU6
631,756
630,700
+1,056
SFRZ6
708,055
713,250
-5,195
SFRH7
419,111
420,264
-1,153
SFRM7
365,316
364,653
+663
SFRU7
277,053
286,390
-9,337
SFRZ7
291,003
292,439
-1,436
SFRH8
204,566
200,368
+4,198
SFRM8
157,431
156,764
+667
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