November 20, 2024 11:29 GMT
STIR: OI Data Points To Fresh Position Setting In Most SOFR Futures On Tuesday
STIR
OI points to a mix of net long and short setting across most SOFR futures on Tuesday.
- The most notable net OI swing came via apparent net short setting in SFRM5, although we would attribute most of this to flattener flow in SFRM5/Z5.
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19-Nov-24
18-Nov-24
Daily OI Change
Daily OI Change In Packs
SFRU4
1,270,169
1,273,110
-2,941
Whites
+42,371
SFRZ4
1,315,630
1,306,570
+9,060
Reds
+1,035
SFRH5
1,071,174
1,072,523
-1,349
Greens
+19,446
SFRM5
1,010,917
973,316
+37,601
Blues
+7,981
SFRU5
741,396
738,848
+2,548
SFRZ5
945,061
939,627
+5,434
SFRH6
627,006
640,500
-13,494
SFRM6
614,867
608,320
+6,547
SFRU6
638,649
622,208
+16,441
SFRZ6
656,695
651,769
+4,926
SFRH7
420,261
423,470
-3,209
SFRM7
341,983
340,695
+1,288
SFRU7
278,084
277,480
+604
SFRZ7
269,318
266,548
+2,770
SFRH8
211,086
209,537
+1,549
SFRM8
158,501
155,443
+3,058
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