October 24, 2024 10:42 GMT
STIR: OI Points To Large Short Setting In SFRZ4, Further Unwind Of SFRZ5 Longs
STIR
The combination of OI data and Wednesday’s extension of the recent hawkish repricing in SOFR futures points to a mix of net short setting and long cover.
- Apparent net short setting in SFRZ4 provided the most meaningful net positioning swing, while SFRZ5 was seemingly subjected to relatively notable long cover for a third consecutive day.
- Cumulative cuts priced into Fed Funds futures from the current 4.83% effective rate: 23bp Nov, 42bp Dec, 59bp Jan and 110bp June.
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23-Oct-24
22-Oct-24
Daily OI Change
Daily OI Change In Packs
SFRU4
1,246,104
1,239,018
+7,086
Whites
+72,561
SFRZ4
1,115,732
1,054,368
+61,364
Reds
-60,039
SFRH5
1,001,752
994,426
+7,326
Greens
+29,460
SFRM5
881,394
884,609
-3,215
Blues
+11,727
SFRU5
715,171
720,750
-5,579
SFRZ5
867,529
901,408
-33,879
SFRH6
602,827
617,034
-14,207
SFRM6
614,734
621,108
-6,374
SFRU6
537,650
534,613
+3,037
SFRZ6
649,896
636,615
+13,281
SFRH7
362,776
360,576
+2,200
SFRM7
309,886
298,944
+10,942
SFRU7
259,129
256,121
+3,008
SFRZ7
244,990
242,016
+2,974
SFRH8
183,583
180,180
+3,403
SFRM8
150,650
148,308
+2,342
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