August 30, 2024 10:24 GMT
OI Points To Long Cover In SOFR Futures Following Yesterday’s Data
STIR
OI data points to long cover dominating in SOFR futures following yesterday’s data.
- Pockets of short setting were also seen.
- Fed Funds futures remain anchored to pricing 100bp of cuts through year end.
- Next week’s NFP report presents the major input ahead of the Sep FOMC, given the central bank’s increased focus on the employment side of its dual mandate.
29-Aug-24 | 28-Aug-24 | Daily OI Change | Daily OI Change In Packs | ||
SFRM4 | 1,141,678 | 1,128,906 | +12,772 | Whites | -13,771 |
SFRU4 | 1,370,990 | 1,377,512 | -6,522 | Reds | -18,965 |
SFRZ4 | 1,188,636 | 1,204,212 | -15,576 | Greens | -37,374 |
SFRH5 | 916,806 | 921,251 | -4,445 | Blues | -896 |
SFRM5 | 888,752 | 896,743 | -7,991 | ||
SFRU5 | 672,732 | 677,771 | -5,039 | ||
SFRZ5 | 918,261 | 901,593 | +16,668 | ||
SFRH6 | 666,209 | 688,812 | -22,603 | ||
SFRM6 | 681,292 | 723,134 | -41,842 | ||
SFRU6 | 551,929 | 564,683 | -12,754 | ||
SFRZ6 | 495,603 | 481,120 | +14,483 | ||
SFRH7 | 297,499 | 294,760 | +2,739 | ||
SFRM7 | 289,654 | 291,551 | -1,897 | ||
SFRU7 | 225,357 | 220,489 | +4,868 | ||
SFRZ7 | 232,400 | 234,519 | -2,119 | ||
SFRH8 | 166,956 | 168,704 | -1,748 |
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