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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-2420-Aug-24Daily OI ChangeDaily OI Change In Packs
SFRM41,132,0571,131,114+943Whites+4,779
SFRU41,180,7291,156,548+24,181Reds-6,492
SFRZ41,163,1541,180,092-16,938Greens-31,494
SFRH5899,183902,590-3,407Blues+1,559
SFRM5842,011838,829+3,182
SFRU5697,031695,395+1,636
SFRZ5914,699913,381+1,318
SFRH6667,655680,283-12,628
SFRM6680,425693,889-13,464
SFRU6562,551574,109-11,558
SFRZ6490,990496,139-5,149
SFRH7268,963270,286-1,323
SFRM7260,336259,208+1,128
SFRU7211,384214,603-3,219
SFRZ7254,768250,897+3,871
SFRH8169,918170,139-221
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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