August 22, 2024 09:48 GMT
OI Points to Mix Of Long Setting & Short Cover During Wednesday's SOFR Rally
STIR
OI data suggests that a mixture of net long setting and short cover was seen during yesterday’s SOFR futures rally.
- The initial revisions to the payrolls benchmark and a dovish round of FOMC meeting minutes drove the rally.
- Fed funds futures were pricing ~103bp of cuts through year end late on Wednesday vs. ~99bp late Tuesday.
21-Aug-24 | 20-Aug-24 | Daily OI Change | Daily OI Change In Packs | ||
SFRM4 | 1,132,057 | 1,131,114 | +943 | Whites | +4,779 |
SFRU4 | 1,180,729 | 1,156,548 | +24,181 | Reds | -6,492 |
SFRZ4 | 1,163,154 | 1,180,092 | -16,938 | Greens | -31,494 |
SFRH5 | 899,183 | 902,590 | -3,407 | Blues | +1,559 |
SFRM5 | 842,011 | 838,829 | +3,182 | ||
SFRU5 | 697,031 | 695,395 | +1,636 | ||
SFRZ5 | 914,699 | 913,381 | +1,318 | ||
SFRH6 | 667,655 | 680,283 | -12,628 | ||
SFRM6 | 680,425 | 693,889 | -13,464 | ||
SFRU6 | 562,551 | 574,109 | -11,558 | ||
SFRZ6 | 490,990 | 496,139 | -5,149 | ||
SFRH7 | 268,963 | 270,286 | -1,323 | ||
SFRM7 | 260,336 | 259,208 | +1,128 | ||
SFRU7 | 211,384 | 214,603 | -3,219 | ||
SFRZ7 | 254,768 | 250,897 | +3,871 | ||
SFRH8 | 169,918 | 170,139 | -221 |
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