September 26, 2024 10:55 GMT
STIR: OI Points To Mix Of SOFR Positioning Swings On Wednesday
STIR
OI points to a mix of short setting and long cover during yesterday’s sell off in most SOFR futures.
- Interestingly there was no clear OI footprint for the record sized 118K block sale of SFRZ4.
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25-Sep-24
24-Sep-24
Daily OI Change
Daily OI Change In Packs
SFRU4
1,350,696
1,363,870
-13,174
Whites
-841
SFRZ4
1,360,611
1,344,925
+15,686
Reds
-31,436
SFRH5
1,082,102
1,081,816
+286
Greens
+11,630
SFRM5
916,524
920,163
-3,639
Blues
+3,465
SFRU5
689,431
694,054
-4,623
SFRZ5
996,624
1,000,855
-4,231
SFRH6
710,797
727,152
-16,355
SFRM6
644,802
651,029
-6,227
SFRU6
553,854
548,282
+5,572
SFRZ6
624,453
622,210
+2,243
SFRH7
359,712
357,365
+2,347
SFRM7
312,506
311,038
+1,468
SFRU7
250,100
247,567
+2,533
SFRZ7
230,052
228,857
+1,195
SFRH8
180,033
180,267
-234
SFRM8
151,014
151,043
-29
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