September 09, 2024 10:30 GMT
STIR: OI Points to Aggressive Long Cover In SFRU4 Following NFPs & Fedspeak
STIR
Friday’s most meaningful net OI swing came in SFRU4, which saw aggressive trimming of longs following NFP data and Fedspeak from Williams & Waller.
- A reminder that most saw the net impact of those events as pointing towards a 25bp, not 50bp, Fed cut later this month.
- Accordingly, Fed funds futures now price ~31bp of cuts for this month vs. 35bp heading into NFPs and ~40bp during knee-jerk reaction to the release.
- SFRU4 was the only contract to finish lower on the day (through the blues), with OI data pointing to net long setting and short cover elsewhere.
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06-Sep-24
05-Sep-24
Daily OI Change
Daily OI Change In Packs
SFRM4
1,128,574
1,130,746
-2,172
Whites
-20,803
SFRU4
1,316,190
1,360,141
-43,951
Reds
+39,954
SFRZ4
1,232,034
1,220,649
+11,385
Greens
+9,472
SFRH5
944,477
930,542
+13,935
Blues
-232
SFRM5
873,586
882,403
-8,817
SFRU5
704,573
684,157
+20,416
SFRZ5
944,434
917,290
+27,144
SFRH6
629,784
628,573
+1,211
SFRM6
604,275
618,676
-14,401
SFRU6
549,818
539,032
+10,786
SFRZ6
527,596
521,586
+6,010
SFRH7
309,864
302,787
+7,077
SFRM7
289,832
289,193
+639
SFRU7
227,332
227,106
+226
SFRZ7
222,081
225,629
-3,548
SFRH8
170,973
168,522
+2,451
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