September 06, 2024 09:53 GMT
STIR: Cover Dominated In Most SOFR Futures On Thursday
STIR
OI data suggests that yesterday’s twist flattening in SOFR futures was mostly driven by cover of existing longs and shorts.
- We will post more on the pre-NFP positioning setup across U.S. rates shortly.
|
05-Sep-24
04-Sep-24
Daily OI Change
Daily OI Change In Packs
SFRM4
1,137,842
1,130,809
+7,033
Whites
-31,807
SFRU4
1,361,304
1,372,590
-11,286
Reds
-34,109
SFRZ4
1,223,361
1,234,197
-10,836
Greens
+24,868
SFRH5
930,543
947,261
-16,718
Blues
-12,771
SFRM5
879,094
887,512
-8,418
SFRU5
685,633
683,766
+1,867
SFRZ5
917,292
942,958
-25,666
SFRH6
628,746
630,638
-1,892
SFRM6
624,409
635,397
-10,988
SFRU6
539,369
538,053
+1,316
SFRZ6
521,586
486,622
+34,964
SFRH7
302,807
303,231
-424
SFRM7
289,193
291,637
-2,444
SFRU7
227,425
227,642
-217
SFRZ7
225,629
236,126
-10,497
SFRH8
168,522
168,135
+387
Keep reading...Show less
51 words