January 17, 2025 11:33 GMT
STIR: Short cover In The SOFR Whites Dominated After Waller's Dovish Comments
STIR
OI data suggests that net short cover in SFRH5 & SFRM5 dominated on the SOFR strip on Thursday, as dovish Fedspeak from Fed Governor Waller allowed this week’s dovish repricing to extend a little further.
- A mix of net long setting and short cover was generally seen elsewhere on the strip (SFRZ5 was the exception, with modest net short setting seen there).
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16-Jan-25
15-Jan-25
Daily OI Change
Daily OI Change In Packs
SFRZ4
1,082,733
1,079,794
+2,939
Whites
-73,655
SFRH5
1,157,555
1,188,990
-31,435
Reds
+5,868
SFRM5
990,744
1,033,877
-43,133
Greens
-13,254
SFRU5
820,954
822,980
-2,026
Blues
-6,495
SFRZ5
996,592
1,007,129
-10,537
SFRH6
653,868
647,667
+6,201
SFRM6
661,712
645,264
+16,448
SFRU6
611,461
617,705
-6,244
SFRZ6
705,705
716,378
-10,673
SFRH7
495,024
495,302
-278
SFRM7
400,543
403,284
-2,741
SFRU7
293,094
292,656
+438
SFRZ7
267,531
269,673
-2,142
SFRH8
216,772
214,793
+1,979
SFRM8
170,900
176,666
-5,766
SFRU8
110,937
111,503
-566
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