September 05, 2024 10:19 GMT
STIR: OI Points To Mix Of Long Setting & Short Cover In SOFR Following JOLTS
STIR
OI data points to a mix of net long setting and short cover during yesterday’s rally in SOFR futures.
- Fed Funds moved to price ~50/50 odds of a 50bp cut at this month’s FOMC at one stage, as softer than-expected JOLTS jobs data triggered the latest round of dovish repricing.
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04-Sep-24
03-Sep-24
Daily OI Change
Daily OI Change In Packs
SFRM4
1,130,840
1,140,526
-9,686
Whites
+27,811
SFRU4
1,372,690
1,351,343
+21,347
Reds
+31,848
SFRZ4
1,235,373
1,255,056
-19,683
Greens
-2,362
SFRH5
947,408
911,575
+35,833
Blues
+54
SFRM5
887,514
881,295
+6,219
SFRU5
683,834
660,496
+23,338
SFRZ5
942,970
931,355
+11,615
SFRH6
630,777
640,101
-9,324
SFRM6
635,500
641,392
-5,892
SFRU6
538,043
538,027
+16
SFRZ6
486,622
482,087
+4,535
SFRH7
303,231
304,252
-1,021
SFRM7
291,641
290,868
+773
SFRU7
228,158
229,579
-1,421
SFRZ7
236,126
237,011
-885
SFRH8
168,135
166,548
+1,587
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