December 04, 2024 11:10 GMT
STIR: Mix Of Positioning Swings During Tuesday's SOFR Twist Steepening
STIR
Mix of positioning swings seen during yesterday’s twist steepening of the SOFR futures strip, dominant themes outlined below:
- Whites: Short cover
- Reds: Long setting
- Greens & Blues: Short setting
- Drivers of yesterday’s move and latest Fed pricing run to come in subsequent bullet.
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03-Dec-24
02-Dec-24
Daily OI Change
Daily OI Change In Packs
SFRU4
1,262,763
1,264,034
-1,271
Whites
-13,733
SFRZ4
1,302,038
1,321,825
-19,787
Reds
+12,415
SFRH5
1,074,042
1,064,488
+9,554
Greens
+32,098
SFRM5
980,656
982,885
-2,229
Blues
+19,014
SFRU5
814,721
801,344
+13,377
SFRZ5
946,786
949,779
-2,993
SFRH6
567,627
578,060
-10,433
SFRM6
596,804
584,340
+12,464
SFRU6
634,048
631,241
+2,807
SFRZ6
690,296
677,720
+12,576
SFRH7
422,735
410,553
+12,182
SFRM7
353,026
348,493
+4,533
SFRU7
286,420
272,577
+13,843
SFRZ7
291,791
288,950
+2,841
SFRH8
205,417
205,285
+132
SFRM8
155,339
153,141
+2,198
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