October 14, 2024 10:10 GMT
STIR: OI Points To Long Setting & Short Cover In SOFR Futures On Friday
STIR
OI data points to short cover in the front 6 SOFR futures during Friday’s rally, with rounds of net long setting and short cover then seen further out the strip.
- Fed funds futures now price ~44bp of cuts through year-end, little lasting impact from Friday’s data.
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11-Oct-24
10-Oct-24
Daily OI Change
Daily OI Change In Packs
SFRU4
1,230,037
1,236,361
-6,324
Whites
-41,998
SFRZ4
1,075,338
1,091,826
-16,488
Reds
-30,320
SFRH5
985,612
993,343
-7,731
Greens
+11,112
SFRM5
839,624
851,079
-11,455
Blues
+3,310
SFRU5
676,268
679,474
-3,206
SFRZ5
903,754
937,917
-34,163
SFRH6
608,010
603,522
+4,488
SFRM6
605,585
603,024
+2,561
SFRU6
548,915
551,851
-2,936
SFRZ6
633,884
615,731
+18,153
SFRH7
363,518
365,529
-2,011
SFRM7
299,793
301,887
-2,094
SFRU7
250,677
250,117
+560
SFRZ7
259,140
257,192
+1,948
SFRH8
182,839
182,108
+731
SFRM8
156,397
156,326
+71
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