October 07, 2024 10:53 GMT
STIR: Mix Of Long Cover & Short Setting Seen In SOFR Futures Following NFPs
STIR
Friday’s hawkish reaction to the NFP release saw long cover dominate in 11/12 of the front SOFR futures, while the blues all saw short setting dominate.
- The data triggered an aggressive unwind of Fed rate cut pricing, with Fed funds futures now showing 23bp of easing for November, 50bp through December, 70bp through January and 116bp of cumulative cuts through June.
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04-Oct-24
03-Oct-24
Daily OI Change
Daily OI Change In Packs
SFRU4
1,283,238
1,307,335
-24,097
Whites
-306,439
SFRZ4
1,147,607
1,332,182
-184,575
Reds
-127,513
SFRH5
1,008,740
1,059,537
-50,797
Greens
-1,222
SFRM5
839,184
886,154
-46,970
Blues
+18,522
SFRU5
682,620
714,351
-31,731
SFRZ5
963,094
1,017,524
-54,430
SFRH6
605,627
627,039
-21,412
SFRM6
599,057
618,997
-19,940
SFRU6
545,811
548,801
-2,990
SFRZ6
620,656
598,971
+21,685
SFRH7
358,094
364,075
-5,981
SFRM7
306,881
320,817
-13,936
SFRU7
261,506
258,282
+3,224
SFRZ7
229,932
221,659
+8,273
SFRH8
188,135
184,919
+3,216
SFRM8
156,953
153,144
+3,809
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