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

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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-2426-Aug-24Daily OI ChangeDaily OI Change In Packs
SFRM41,125,5871,123,957+1,630Whites+86,819
SFRU41,349,8851,319,705+30,180Reds+21,018
SFRZ41,236,9131,194,458+42,455Greens+22,795
SFRH5920,283907,729+12,554Blues+6,084
SFRM5896,690877,308+19,382
SFRU5684,400693,191-8,791
SFRZ5903,524901,874+1,650
SFRH6692,406683,629+8,777
SFRM6725,985705,211+20,774
SFRU6573,792577,390-3,598
SFRZ6486,285485,388+897
SFRH7284,490279,768+4,722
SFRM7284,053282,018+2,035
SFRU7218,869211,369+7,500
SFRZ7232,666236,666-4,000
SFRH8174,555174,006+549
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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-2426-Aug-24Daily OI ChangeDaily OI Change In Packs
SFRM41,125,5871,123,957+1,630Whites+86,819
SFRU41,349,8851,319,705+30,180Reds+21,018
SFRZ41,236,9131,194,458+42,455Greens+22,795
SFRH5920,283907,729+12,554Blues+6,084
SFRM5896,690877,308+19,382
SFRU5684,400693,191-8,791
SFRZ5903,524901,874+1,650
SFRH6692,406683,629+8,777
SFRM6725,985705,211+20,774
SFRU6573,792577,390-3,598
SFRZ6486,285485,388+897
SFRH7284,490279,768+4,722
SFRM7284,053282,018+2,035
SFRU7218,869211,369+7,500
SFRZ7232,666236,666-4,000
SFRH8174,555174,006+549