Free Trial

OI Points to Short Setting & Long Cover Across Most Of SOFR Futures Strip

STIR

OI data points to a mix of short setting and long cover during Friday’s weakness across most SOFR futures.

  • The only exception came via apparent net long setting in SFRM4.
  • Weakness across much of the strip came in the wake of slightly firmer-than-expected personal income data, while pressure in the long end (with an eye on a post-holiday supply deluge) may have provided some further spill over pressure.
  • Fed Funds futures price ~32bp of cuts for this month’s meeting.
  • Further out, ~98bp of cuts are priced through year end.
30-Aug-2429-Aug-24Daily OI ChangeDaily OI Change In Packs
SFRM41,149,1291,129,707+19,422Whites+18,437
SFRU41,358,9421,370,709-11,767Reds-25,160
SFRZ41,208,5181,187,648+20,870Greens-25,380
SFRH5906,643916,731-10,088Blues+10,685
SFRM5882,002888,677-6,675
SFRU5667,786671,887-4,101
SFRZ5912,491917,986-5,495
SFRH6657,245666,134-8,889
SFRM6668,908681,069-12,161
SFRU6547,356550,681-3,325
SFRZ6485,405495,403-9,998
SFRH7297,603297,499+104
SFRM7293,047289,650+3,397
SFRU7228,898224,848+4,050
SFRZ7235,682232,400+3,282
SFRH8166,912166,956-44
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.