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OI Points To Limited, Mixed Positioning Swings In SOFR Futures

STIR

SOFR futures were -1.0 to +1.0 at Wednesday’s settlement, with OI data pointing to a mix of net short setting, long setting and long cover.

  • We didn't see any particularly meaningful shifts in net pack positioning, with net long setting in SFRU4 providing the standout in individual contract terms,
  • Fed Funds futures were relatively steady on the day, continuing to point to a little over 100bp of cuts through the Dec FOMC.
28-Aug-2427-Aug-24Daily OI ChangeDaily OI Change In Packs
SFRM41,128,9421,125,551+3,391Whites+14,047
SFRU41,377,7521,350,161+27,591Reds-8,188
SFRZ41,204,5581,222,609-18,051Greens-5,899
SFRH5921,325920,209+1,116Blues+5,221
SFRM5896,818896,624+194
SFRU5680,612683,877-3,265
SFRZ5901,668903,461-1,793
SFRH6689,007692,331-3,324
SFRM6723,363725,788-2,425
SFRU6564,723573,288-8,565
SFRZ6481,120486,299-5,179
SFRH7294,760284,490+10,270
SFRM7291,551284,049+7,502
SFRU7220,489218,765+1,724
SFRZ7234,519232,673+1,846
SFRH8168,704174,555-5,851
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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