December 23, 2024 11:59 GMT
STIR: OI Signals Short Cover In SOFR, Possible SFRZ4/Z5 Steepener Unwinds
STIR
OI data points to net short cover in most SOFR futures on Friday, as PCE data helped pull contracts away from the multi-month lows registered around last week’s FOMC decision.
- This is an approximation given that SFRZ4 was unchanged at settlement time.
- Also note that the fairly sizeable reduction in both SFRZ4 & Z5 OI means that spread activity in SFRZ4/Z5 may have factored into positioning swings, via unwinds of existing steepener positions.
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20-Dec-24
19-Dec-24
Daily OI Change
Daily OI Change In Packs
SFRZ4
1,197,455
1,254,109
-56,654
Whites
-70,274
SFRH5
1,091,763
1,095,452
-3,689
Reds
-68,417
SFRM5
1,011,913
1,019,262
-7,349
Greens
-12,254
SFRU5
835,919
838,501
-2,582
Blues
+46
SFRZ5
905,142
952,856
-47,714
SFRH6
553,603
563,191
-9,588
SFRM6
617,734
624,065
-6,331
SFRU6
609,956
614,740
-4,784
SFRZ6
681,871
694,941
-13,070
SFRH7
445,931
449,450
-3,519
SFRM7
365,450
359,095
+6,355
SFRU7
287,796
289,816
-2,020
SFRZ7
292,271
289,592
+2,679
SFRH8
225,368
227,761
-2,393
SFRM8
158,392
157,894
+498
SFRU8
118,009
118,747
-738
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