September 17, 2024 10:28 GMT
STIR: Long Setting & SFRH5/H6 Steepener Dominated On SOFR Strip On Monday
STIR
Long setting once again dominated in SOFR futures on Monday, as the odds of a 50bp cut at this week’s FOMC increased further (exact market pricing covered in prior bullet).
- The biggest net OI swings came in SFRH5 & H6, driven by an 81.5K SFRH5/H6 steepener block, which would benefit from a frontloading of Fed cuts.
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16-Sep-24
13-Sep-24
Daily OI Change
Daily OI Change In Packs
SFRM4
1,156,127
1,135,837
+20,290
Whites
+136,133
SFRU4
1,362,123
1,339,628
+22,495
Reds
+9,420
SFRZ4
1,264,080
1,233,920
+30,160
Greens
+20,833
SFRH5
1,094,627
1,031,439
+63,188
Blues
+9,999
SFRM5
878,691
868,942
+9,749
SFRU5
702,621
728,667
-26,046
SFRZ5
960,174
995,625
-35,451
SFRH6
698,766
637,598
+61,168
SFRM6
607,680
596,577
+11,103
SFRU6
538,150
538,310
-160
SFRZ6
558,403
549,174
+9,229
SFRH7
345,170
344,509
+661
SFRM7
304,351
311,923
-7,572
SFRU7
232,899
231,797
+1,102
SFRZ7
229,359
216,738
+12,621
SFRH8
173,564
169,716
+3,848
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