November 18, 2024 11:43 GMT
STIR: Mix Of Long Cover & Setting Most Prominent In SOFR Futures On Friday
STIR
OI data suggests that a mix of net long cover (most contracts out to SFRM6) and net long setting (further out) as the SOFR futures strip twist flattened on Friday.
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15-Nov-24
14-Nov-24
Daily OI Change
Daily OI Change In Packs
SFRU4
1,272,909
1,277,641
-4,732
Whites
-37,913
SFRZ4
1,323,727
1,347,322
-23,595
Reds
-21,053
SFRH5
1,071,673
1,068,824
+2,849
Greens
+21,179
SFRM5
966,737
979,172
-12,435
Blues
+2,135
SFRU5
731,354
734,680
-3,326
SFRZ5
955,350
965,790
-10,440
SFRH6
642,352
647,921
-5,569
SFRM6
605,905
607,623
-1,718
SFRU6
612,497
591,142
+21,355
SFRZ6
649,895
648,276
+1,619
SFRH7
419,700
422,698
-2,998
SFRM7
337,808
336,605
+1,203
SFRU7
275,537
270,920
+4,617
SFRZ7
263,597
264,168
-571
SFRH8
208,637
209,751
-1,114
SFRM8
154,983
155,780
-797
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