STIR: Long Setting In SOFR Whites Dominated On Tuesday
Yesterday’s rally in most SOFR futures and preliminary OI data points to a mix of net long setting and short cover, with the only meaningful swings in contract OI coming via apparent net long setting in SFRH5 & M5.
|
29-Oct-24
28-Oct-24
Daily OI Change
Daily OI Change In Packs
SFRU4
1,258,971
1,251,188
+7,783
Whites
+45,408
SFRZ4
1,152,647
1,156,856
-4,209
Reds
+187
SFRH5
1,036,050
1,006,290
+29,760
Greens
-7,116
SFRM5
876,288
864,214
+12,074
Blues
+9,504
SFRU5
714,302
710,763
+3,539
SFRZ5
861,403
856,364
+5,039
SFRH6
581,967
586,036
-4,069
SFRM6
584,656
588,978
-4,322
SFRU6
511,620
522,628
-11,008
SFRZ6
622,162
624,987
-2,825
SFRH7
369,623
367,702
+1,921
SFRM7
319,378
314,582
+4,796
SFRU7
258,272
253,269
+5,003
SFRZ7
248,371
248,167
+204
SFRH8
191,893
190,600
+1,293
SFRM8
156,653
153,649
+3,004