February 13, 2025 11:39 GMT
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-25 | 11-Feb-25 | Daily OI Change | Daily OI Change In Packs | ||
SFRZ4 | 1,036,666 | 1,022,041 | +14,625 | Whites | +63,415 |
SFRH5 | 1,209,125 | 1,192,934 | +16,191 | Reds | +87,030 |
SFRM5 | 1,114,878 | 1,086,920 | +27,958 | Greens | +54,640 |
SFRU5 | 822,001 | 817,360 | +4,641 | Blues | +28,266 |
SFRZ5 | 1,013,020 | 1,002,603 | +10,417 | ||
SFRH6 | 699,124 | 682,286 | +16,838 | ||
SFRM6 | 713,185 | 652,168 | +61,017 | ||
SFRU6 | 600,441 | 601,683 | -1,242 | ||
SFRZ6 | 743,930 | 731,791 | +12,139 | ||
SFRH7 | 483,451 | 470,945 | +12,506 | ||
SFRM7 | 461,042 | 436,496 | +24,546 | ||
SFRU7 | 294,956 | 289,507 | +5,449 | ||
SFRZ7 | 328,844 | 304,234 | +24,610 | ||
SFRH8 | 220,145 | 220,655 | -510 | ||
SFRM8 | 189,239 | 185,686 | +3,553 | ||
SFRU8 | 120,640 | 120,027 | +613 |
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