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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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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.

 

Keep reading...Show less