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OI Points to Mix Of Long Setting & Short Cover In SOFR Futures Post-NFPs

STIR

OI data suggests that net long setting dominated in the whites during Friday’s NFP-driven dovish repricing, while short cover was more prominent further out the strip.

  • A reminder that the labour market report drove a meaningful round of dovish Fed repricing and fuelled speculation of a potential intra-meeting rate cut as markets put greater weight behind the idea of a Fed policy error.
  • Greater details surrounding market pricing and adjusted sell-side Fed calls can be found here.
02-Aug-2401-Aug-24Daily OI ChangeDaily OI Change In Packs
SFRM41,126,0741,130,292-4,218Whites+60,379
SFRU41,105,1081,086,090+19,018Reds-16,172
SFRZ41,158,0461,146,305+11,741Greens-25,031
SFRH5983,398949,560+33,838Blues-13,988
SFRM5845,349849,352-4,003
SFRU5669,254667,889+1,365
SFRZ5913,882926,739-12,857
SFRH6611,512612,189-677
SFRM6537,266555,327-18,061
SFRU6502,696508,218-5,522
SFRZ6430,028420,415+9,613
SFRH7249,518260,579-11,061
SFRM7256,457264,786-8,329
SFRU7202,293209,060-6,767
SFRZ7236,846237,788-942
SFRH8149,057147,007+2,050
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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