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OI Points To Mix Of Modest Long Setting & Short Cover During Tuesday's SOFR Uptick

STIR

OI data points to a mix of net long setting and short cover in SOFR futures during Tuesday’s uptick, although OI changes in packs and individual contracts were fairly limited ahead of today’s FOMC decision.

  • A reminder that heightened tension in the Middle East drove a rally in the contracts ahead of the close, leaving ~69bp of ’24 Fed cuts priced into Fed Funds futures late in the day.
30-Jul-2429-Jul-24Daily OI ChangeDaily OI Change In Packs
SFRM41,134,0671,132,313+1,754Whites-4,888
SFRU41,068,3431,077,127-8,784Reds+6,560
SFRZ41,176,5521,170,051+6,501Greens+9,477
SFRH5896,883901,242-4,359Blues+7,176
SFRM5828,256827,844+412
SFRU5661,056654,843+6,213
SFRZ5894,806900,074-5,268
SFRH6567,294562,091+5,203
SFRM6527,537526,398+1,139
SFRU6475,505472,430+3,075
SFRZ6393,139389,201+3,938
SFRH7235,380234,055+1,325
SFRM7250,628249,613+1,015
SFRU7200,919198,684+2,235
SFRZ7220,025215,600+4,425
SFRH8139,744140,243-499
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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