October 17, 2024 10:37 GMT
STIR: OI Points to Limited Positioning Swings In SOFR Futures On Wednesday
STIR
OI suggests that long setting dominated through the greens during Wednesday’s rally across most SOFR futures, with pockets of net short cover seen.
- Note that SFRU4 seemed to see fresh net shorts set.
- Both net contract-specific and pack OIs only saw relatively modest adjustments.
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16-Oct-24
15-Oct-24
Daily OI Change
Daily OI Change In Packs
SFRU4
1,240,620
1,236,685
+3,935
Whites
+15,091
SFRZ4
1,053,432
1,043,543
+9,889
Reds
+15,930
SFRH5
981,631
989,734
-8,103
Greens
+6,089
SFRM5
862,405
853,035
+9,370
Blues
-1,552
SFRU5
696,862
697,065
-203
SFRZ5
908,331
895,675
+12,656
SFRH6
609,445
604,290
+5,155
SFRM6
601,779
603,457
-1,678
SFRU6
546,337
545,601
+736
SFRZ6
614,089
614,489
-400
SFRH7
356,906
361,926
-5,020
SFRM7
312,313
301,540
+10,773
SFRU7
253,563
248,907
+4,656
SFRZ7
252,774
257,265
-4,491
SFRH8
181,093
181,635
-542
SFRM8
150,701
151,876
-1,175
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