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OI Points To Mix Of Long Setting & Short Cover During Tuesday's SOFR Rally

STIR

OI data points to a mix of net long setting and short cover during yesterday’s rally in SOFR futures.

  • Lower oil prices, equity market weakness and data-driven worry surrounding the U.S. economy drove the rally in core global FI markets.
  • Fed Funds futures now price ~35bp of cuts for the Sep FOMC & ~104bp of easing through year end vs. ~33bp & ~100bp late Friday.
03-Sep-2430-Aug-24Daily OI ChangeDaily OI Change In Packs
SFRM41,140,5571,149,129-8,572Whites+36,842
SFRU41,351,4111,358,942-7,531Reds-5,838
SFRZ41,256,4261,208,518+47,908Greens-33,290
SFRH5911,680906,643+5,037Blues-491
SFRM5881,416882,002-586
SFRU5660,602667,786-7,184
SFRZ5931,461912,491+18,970
SFRH6640,207657,245-17,038
SFRM6641,613668,908-27,295
SFRU6538,030547,356-9,326
SFRZ6482,087485,405-3,318
SFRH7304,252297,603+6,649
SFRM7290,910293,047-2,137
SFRU7229,579228,898+681
SFRZ7237,011235,682+1,329
SFRH8166,548166,912-364
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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