August 28, 2024 10:24 GMT
OI Points To Mix Of Long & Short Setting In SOFR Futures On Tuesday
STIR
The combination of open interest data and yesterday's twist steepening in SOFR futures points to long setting dominating through the greens and short setting dominating in the blues.
- Weakness in crude oil futures and soft labor market components in the latest consumer confidence survey allowed SOFR futures to move off NY morning lows.
- That left ~104bp of ’24 cuts priced into Fed Funds futures vs. ~100bp late Monday.
27-Aug-24 | 26-Aug-24 | Daily OI Change | Daily OI Change In Packs | ||
SFRM4 | 1,125,587 | 1,123,957 | +1,630 | Whites | +86,819 |
SFRU4 | 1,349,885 | 1,319,705 | +30,180 | Reds | +21,018 |
SFRZ4 | 1,236,913 | 1,194,458 | +42,455 | Greens | +22,795 |
SFRH5 | 920,283 | 907,729 | +12,554 | Blues | +6,084 |
SFRM5 | 896,690 | 877,308 | +19,382 | ||
SFRU5 | 684,400 | 693,191 | -8,791 | ||
SFRZ5 | 903,524 | 901,874 | +1,650 | ||
SFRH6 | 692,406 | 683,629 | +8,777 | ||
SFRM6 | 725,985 | 705,211 | +20,774 | ||
SFRU6 | 573,792 | 577,390 | -3,598 | ||
SFRZ6 | 486,285 | 485,388 | +897 | ||
SFRH7 | 284,490 | 279,768 | +4,722 | ||
SFRM7 | 284,053 | 282,018 | +2,035 | ||
SFRU7 | 218,869 | 211,369 | +7,500 | ||
SFRZ7 | 232,666 | 236,666 | -4,000 | ||
SFRH8 | 174,555 | 174,006 | +549 |
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