STIR: Positions Built Across Much Of SOFR Strip On Thursday
A mix of long and short setting dominated across much of the SOFR futures strip on Thursday, although net changes in contract prices were fairly limited on the day as the lower-than-expected weekly jobless claims data helped counter an early rally in wider core global FI markets.
- Positioning swings were mixed through SFRH6, before long setting asserted itself further out the strip.
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02-Jan-25
31-Dec-24
Daily OI Change
Daily OI Change In Packs
SFRZ4
1,123,852
1,137,781
-13,929
Whites
+6,185
SFRH5
1,105,412
1,090,967
+14,445
Reds
+38,433
SFRM5
1,014,789
1,008,228
+6,561
Greens
+27,940
SFRU5
814,883
815,775
-892
Blues
+7,971
SFRZ5
893,184
880,070
+13,114
SFRH6
574,915
566,749
+8,166
SFRM6
641,261
637,174
+4,087
SFRU6
632,690
619,624
+13,066
SFRZ6
720,463
706,563
+13,900
SFRH7
461,114
447,638
+13,476
SFRM7
377,628
374,280
+3,348
SFRU7
271,879
274,663
-2,784
SFRZ7
297,059
290,953
+6,106
SFRH8
228,109
226,603
+1,506
SFRM8
160,621
162,023
-1,402
SFRU8
115,313
113,552
+1,761