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STIR: Net Short Setting Most Prominent In SOFR Futures On Friday

STIR
BulletMarketsFixed Income Bullets

OI points to net short setting dominating in SFRZ4 through SFRM5 futures on Friday,

  • Long cover was then slightly more prominent in SFRU5 through SFRH6, before net short setting reasserted itself in SFRM6 through SFRZ6.
  • A modest rally was seen in contracts beyond that point, with the mix of net short cover and long setting more balanced.
  • Net short setting provided the most meaningful positioning input in strip-wide terms.

 

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OI points to net short setting dominating in SFRZ4 through SFRM5 futures on Friday,

  • Long cover was then slightly more prominent in SFRU5 through SFRH6, before net short setting reasserted itself in SFRM6 through SFRZ6.
  • A modest rally was seen in contracts beyond that point, with the mix of net short cover and long setting more balanced.
  • Net short setting provided the most meaningful positioning input in strip-wide terms.

 

Keep reading...Show less