January 13, 2025 11:52 GMT
STIR: Short Setting Dominated In SOFR Futures Following NFPs
STIR
Net short setting dominated through SFRM8 on Friday, as the NFP data drove an aggressive round of hawkish repricing.
- Only isolated rounds of net long cover were seen through the blues.
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10-Jan-25
09-Jan-25
Daily OI Change
Daily OI Change In Packs
SFRZ4
1,098,794
1,110,882
-12,088
Whites
+59,450
SFRH5
1,194,148
1,152,339
+41,809
Reds
+51,001
SFRM5
1,030,324
1,007,829
+22,495
Greens
+24,221
SFRU5
810,938
803,704
+7,234
Blues
-590
SFRZ5
994,404
985,860
+8,544
SFRH6
644,250
615,156
+29,094
SFRM6
645,320
629,725
+15,595
SFRU6
617,529
619,761
-2,232
SFRZ6
735,546
715,020
+20,526
SFRH7
482,559
481,978
+581
SFRM7
392,266
390,316
+1,950
SFRU7
291,713
290,549
+1,164
SFRZ7
280,884
280,607
+277
SFRH8
220,376
220,196
+180
SFRM8
173,450
173,308
+142
SFRU8
105,765
106,954
-1,189
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