October 08, 2024 10:28 GMT
STIR: OI Points To Mix Of Short Setting & Long Cover In SOFR Futures On Monday
STIR
OI suggests that there was a relatively balanced mix of net short setting and long cover during Monday’s sell off in SOFR futures.
- Long cover was slightly more prominent in the front end of the strip, while short setting was more prominent further out.
- Friday’s post-NFP sell off extended, as Fed rate cut pricing faded further.
- Upcoming STIR bullet will give exacts when it comes to the latest Fed pricing.
|
07-Oct-24
04-Oct-24
Daily OI Change
Daily OI Change In Packs
SFRU4
1,264,083
1,283,233
-19,150
Whites
-12,675
SFRZ4
1,126,522
1,148,143
-21,621
Reds
-7,169
SFRH5
1,009,178
1,008,738
+440
Greens
+8,560
SFRM5
866,183
838,527
+27,656
Blues
+23,378
SFRU5
681,580
682,670
-1,090
SFRZ5
956,620
965,695
-9,075
SFRH6
598,878
605,598
-6,720
SFRM6
608,740
599,024
+9,716
SFRU6
571,985
545,806
+26,179
SFRZ6
619,793
620,656
-863
SFRH7
357,277
358,094
-817
SFRM7
310,560
326,499
-15,939
SFRU7
255,795
261,506
-5,711
SFRZ7
244,806
229,932
+14,874
SFRH8
194,606
188,135
+6,471
SFRM8
164,697
156,953
+7,744
Keep reading...Show less
86 words