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STIR: Short Setting Dominated On SOFR Strip Following CPI

STIR

OI data points to meaningful net short setting across many SOFR futures following yesterday’s CPI data as markets pushed full discounting of the next Fed rate cut back to December.

  • Only two very modest rounds of net long cover were seen across the front 16 contracts (SFRU6 & H8).
 12-Feb-2511-Feb-25Daily OI Change Daily OI Change In Packs
SFRZ41,036,6661,022,041+14,625Whites+63,415
SFRH51,209,1251,192,934+16,191Reds+87,030
SFRM51,114,8781,086,920+27,958Greens+54,640
SFRU5822,001817,360+4,641Blues+28,266
SFRZ51,013,0201,002,603+10,417  
SFRH6699,124682,286+16,838  
SFRM6713,185652,168+61,017  
SFRU6600,441601,683-1,242  
SFRZ6743,930731,791+12,139  
SFRH7483,451470,945+12,506  
SFRM7461,042436,496+24,546  
SFRU7294,956289,507+5,449  
SFRZ7328,844304,234+24,610  
SFRH8220,145220,655-510  
SFRM8189,239185,686+3,553  
SFRU8120,640120,027+613  
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OI data points to meaningful net short setting across many SOFR futures following yesterday’s CPI data as markets pushed full discounting of the next Fed rate cut back to December.

  • Only two very modest rounds of net long cover were seen across the front 16 contracts (SFRU6 & H8).
 12-Feb-2511-Feb-25Daily OI Change Daily OI Change In Packs
SFRZ41,036,6661,022,041+14,625Whites+63,415
SFRH51,209,1251,192,934+16,191Reds+87,030
SFRM51,114,8781,086,920+27,958Greens+54,640
SFRU5822,001817,360+4,641Blues+28,266
SFRZ51,013,0201,002,603+10,417  
SFRH6699,124682,286+16,838  
SFRM6713,185652,168+61,017  
SFRU6600,441601,683-1,242  
SFRZ6743,930731,791+12,139  
SFRH7483,451470,945+12,506  
SFRM7461,042436,496+24,546  
SFRU7294,956289,507+5,449  
SFRZ7328,844304,234+24,610  
SFRH8220,145220,655-510  
SFRM8189,239185,686+3,553  
SFRU8120,640120,027+613