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

STIR

Yesterday’s sell off in SOFR futures and OI data points to a mix of net short setting and long cover as some of the recent risk-off price action was unwound.

  • Fed Funds futures now price ~105bp of cuts through the Dec FOMC vs. nearly 150bp at one point on Monday, with odds of intra-meeting Fed action fading.
06-Aug-2405-Aug-24Daily OI ChangeDaily OI Change In Packs
SFRM41,126,6641,119,767+6,897Whites-20,363
SFRU41,098,2181,113,766-15,548Reds-2,002
SFRZ41,161,9131,139,551+22,362Greens+27,721
SFRH5914,765948,839-34,074Blues-12,508
SFRM5799,895806,589-6,694
SFRU5651,621644,394+7,227
SFRZ5883,195896,086-12,891
SFRH6610,973600,617+10,356
SFRM6553,124543,079+10,045
SFRU6523,484508,180+15,304
SFRZ6432,597425,474+7,123
SFRH7241,379246,130-4,751
SFRM7253,419259,068-5,649
SFRU7209,042202,743+6,299
SFRZ7233,913244,729-10,816
SFRH8146,949149,291-2,342
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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