November 14, 2024 11:18 GMT
STIR: Mix Of Long & Short Setting Most Prominent In SOFR Futures Following CPI
STIR
OI points to net long setting dominating through SFRZ6 on Wednesday, albeit with pockets of net short cover also seen.
- Net short setting then seemed to dominate further out, with the strip twist steepening in the wake of the CPI data.
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13-Nov-24
12-Nov-24
Daily OI Change
Daily OI Change In Packs
SFRU4
1,269,433
1,274,237
-4,804
Whites
+3,269
SFRZ4
1,252,671
1,232,730
+19,941
Reds
+44,207
SFRH5
1,070,196
1,072,887
-2,691
Greens
+95,516
SFRM5
948,446
957,623
-9,177
Blues
+4,446
SFRU5
737,229
724,088
+13,141
SFRZ5
987,483
969,680
+17,803
SFRH6
654,648
656,334
-1,686
SFRM6
625,028
610,079
+14,949
SFRU6
602,654
549,051
+53,603
SFRZ6
652,146
640,305
+11,841
SFRH7
421,717
399,408
+22,309
SFRM7
335,783
328,020
+7,763
SFRU7
268,198
267,219
+979
SFRZ7
263,543
266,606
-3,063
SFRH8
209,953
206,412
+3,541
SFRM8
160,027
157,038
+2,989
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