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OI Points To Mix Of Long Setting & Short Cover In SOFR Futures On Friday

STIR

Friday's geopolitical angst triggered a rally in most SOFR futures, with pricing of the Fed rate cutting cycle moving away from post-CPI shallows.

  • When coupled with preliminary OI data that move points to a mix of net long setting and short cover, with the former dominating in the reds and the latter dominating in the whites and greens.
  • Net pack OI for the blues had a modest bias towards net long setting.
12-Apr-2411-Apr-24Daily OI ChangeDaily OI Change In Packs
SFRH4937,802948,914-11,112Whites-29,743
SFRM41,197,1931,190,882+6,311Reds+23,636
SFRU4946,358950,172-3,814Greens-23,848
SFRZ41,201,3291,222,457-21,128Blues+1,437
SFRH5711,226709,342+1,884
SFRM5817,585815,653+1,932
SFRU5693,124691,342+1,782
SFRZ5686,175668,137+18,038
SFRH6493,451496,761-3,310
SFRM6510,138524,090-13,952
SFRU6374,721374,042+679
SFRZ6349,312356,577-7,265
SFRH7226,645229,195-2,550
SFRM7204,353198,432+5,921
SFRU7170,936171,010-74
SFRZ7162,119163,979-1,860
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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