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OI Suggests Long Setting Dominated In SOFR Futures On Friday

STIR

OI data suggests that long setting dominated through the greens during Friday’s twist flattening in SOFR futures, while positioning was little changed in the blues.

  • Softer oil prices were the driver of the rally seen across much of the strip, but contracts finished off best levels as oil markets corrected from lows and as participants digested the latest UoM data.
  • That left markets pricing ~33bp of cuts for the September FOMC & ~95bp of easing through year end.
16-Aug-2415-Aug-24Daily OI ChangeDaily OI Change In Packs
SFRM41,134,5881,134,292+296Whites+81,178
SFRU41,135,2321,115,595+19,637Reds+12,682
SFRZ41,184,9081,125,235+59,673Greens+24,009
SFRH5912,153910,581+1,572Blues-1,340
SFRM5842,117808,143+33,974
SFRU5683,427688,004-4,577
SFRZ5897,310913,348-16,038
SFRH6669,128669,805-677
SFRM6659,284650,499+8,785
SFRU6570,320576,458-6,138
SFRZ6493,609477,310+16,299
SFRH7267,184262,121+5,063
SFRM7255,775255,641+134
SFRU7214,010215,723-1,713
SFRZ7238,030235,947+2,083
SFRH8168,381170,225-1,844
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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