November 21, 2024 11:31 GMT
STIR: OI Points To Short Setting & Long Cover In SOFR Futures On Wednesday
STIR
OI data points to a mix of net short setting and long cover in SOFR futures on Wednesday, as most contracts ticked lower on the day.
- Not that net short setting in SFRH5 and SFRM6 provided two of the larger net OI swings, although long cover seemed to dominate in both the whites and reds (in net pack OI terms).
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20-Nov-24
19-Nov-24
Daily OI Change
Daily OI Change In Packs
SFRU4
1,265,949
1,270,169
-4,220
Whites
-4,621
SFRZ4
1,307,905
1,317,711
-9,806
Reds
-12,206
SFRH5
1,082,496
1,071,174
+11,322
Greens
+1,132
SFRM5
1,008,919
1,010,836
-1,917
Blues
+358
SFRU5
734,954
741,396
-6,442
SFRZ5
934,620
944,989
-10,369
SFRH6
621,480
627,009
-5,529
SFRM6
625,001
614,867
+10,134
SFRU6
638,383
638,649
-266
SFRZ6
652,012
656,675
-4,663
SFRH7
426,362
420,261
+6,101
SFRM7
341,943
341,983
-40
SFRU7
279,046
278,084
+962
SFRZ7
268,902
269,318
-416
SFRH8
211,219
211,086
+133
SFRM8
158,180
158,501
-321
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