October 04, 2024 10:21 GMT
STIR: Long Cover Dominated On SOFR Strip Again On Thursday
STIR
OI points to long cover dominating on the SOFR strip during Thursday's sell off, with only some pockets of short setting seen.
- That paints a similar positioning picture to what was seen in the long end, with a rally in oil and data promoting the removal of some Fed rate cut premium.
- Cumulative cuts from 4.83% effective: 34bp Nov, 66bp Dec, 95bp Jan and 151bp June.
- There seems to be a better balance in positioning ahead of today’s NFP data (which we will cover in greater detail ahead of the release).
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03-Oct-24
02-Oct-24
Daily OI Change
Daily OI Change In Packs
SFRU4
1,307,340
1,309,779
-2,439
Whites
-63,586
SFRZ4
1,337,585
1,349,855
-12,270
Reds
-42,692
SFRH5
1,059,539
1,078,242
-18,703
Greens
-12,394
SFRM5
886,381
916,555
-30,174
Blues
-6,390
SFRU5
714,355
704,506
+9,849
SFRZ5
1,017,551
1,013,615
+3,936
SFRH6
627,068
677,667
-50,599
SFRM6
619,025
624,903
-5,878
SFRU6
548,806
554,641
-5,835
SFRZ6
598,971
596,853
+2,118
SFRH7
364,075
371,969
-7,894
SFRM7
320,870
321,653
-783
SFRU7
258,282
259,258
-976
SFRZ7
221,659
226,227
-4,568
SFRH8
184,919
185,299
-380
SFRM8
153,144
153,610
-466
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