December 11, 2024 11:21 GMT
STIR: Short Setting Most Prominent During Tuesday's Downtick In SOFR Futures
STIR
OI data points to a mix of net short setting and long cover during Tuesday’s downtick in SOFR futures, with the former providing the largest curve-wide impact.
- The largest net OI swing came via apparent net short setting in SFRM6.
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10-Dec-24
09-Dec-24
Daily OI Change
Daily OI Change In Packs
SFRU4
1,218,522
1,227,260
-8,738
Whites
+18,307
SFRZ4
1,349,090
1,334,987
+14,103
Reds
+9,327
SFRH5
1,082,292
1,075,099
+7,193
Greens
-11,779
SFRM5
1,006,586
1,000,837
+5,749
Blues
+1,267
SFRU5
806,948
823,560
-16,612
SFRZ5
936,092
929,501
+6,591
SFRH6
557,714
558,849
-1,135
SFRM6
636,994
616,511
+20,483
SFRU6
629,374
636,592
-7,218
SFRZ6
712,580
723,747
-11,167
SFRH7
419,897
417,585
+2,312
SFRM7
362,016
357,722
+4,294
SFRU7
290,575
290,792
-217
SFRZ7
287,554
284,946
+2,608
SFRH8
199,423
200,176
-753
SFRM8
156,793
157,164
-371
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