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OI Suggests Long Setting Dominated During Tuesday's Rally In SOFR Futures

STIR

OI data suggests long setting dominating in SOFR futures during Tuesday’s rally, with only limited, isolated rounds of net short cover seen.

  • Spill over from softer-than-expected Canadian CPI data drove a large part of the rally, with SOFR volumes running comfortably below average ahead of this week’s major U.S. risk events.
20-Aug-2419-Aug-24Daily OI ChangeDaily OI Change In Packs
SFRM41,131,1141,134,029-2,915Whites+2,873
SFRU41,156,4591,150,411+6,048Reds+39,927
SFRZ41,180,6521,176,331+4,321Greens+49,768
SFRH5902,614907,195-4,581Blues+5,650
SFRM5838,855836,705+2,150
SFRU5695,421685,557+9,864
SFRZ5913,407899,403+14,004
SFRH6680,311666,402+13,909
SFRM6693,892659,608+34,284
SFRU6574,109562,616+11,493
SFRZ6496,139494,692+1,447
SFRH7270,286267,742+2,544
SFRM7259,212258,132+1,080
SFRU7214,603215,252-649
SFRZ7250,897247,616+3,281
SFRH8170,139168,201+1,938
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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