August 21, 2024 10:22 GMT
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-24 | 19-Aug-24 | Daily OI Change | Daily OI Change In Packs | ||
SFRM4 | 1,131,114 | 1,134,029 | -2,915 | Whites | +2,873 |
SFRU4 | 1,156,459 | 1,150,411 | +6,048 | Reds | +39,927 |
SFRZ4 | 1,180,652 | 1,176,331 | +4,321 | Greens | +49,768 |
SFRH5 | 902,614 | 907,195 | -4,581 | Blues | +5,650 |
SFRM5 | 838,855 | 836,705 | +2,150 | ||
SFRU5 | 695,421 | 685,557 | +9,864 | ||
SFRZ5 | 913,407 | 899,403 | +14,004 | ||
SFRH6 | 680,311 | 666,402 | +13,909 | ||
SFRM6 | 693,892 | 659,608 | +34,284 | ||
SFRU6 | 574,109 | 562,616 | +11,493 | ||
SFRZ6 | 496,139 | 494,692 | +1,447 | ||
SFRH7 | 270,286 | 267,742 | +2,544 | ||
SFRM7 | 259,212 | 258,132 | +1,080 | ||
SFRU7 | 214,603 | 215,252 | -649 | ||
SFRZ7 | 250,897 | 247,616 | +3,281 | ||
SFRH8 | 170,139 | 168,201 | +1,938 |
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