October 10, 2024 10:26 GMT
STIR: OI Suggests Long Cover Dominated In SOFR Wednesday, Fewer Fed Cuts Priced
STIR
OI suggests long cover dominated across the SOFR strip during Wednesday’s sell off as the recent unwind of Fed rate cut premium extended further.
- Only isolated, modest pockets of net short setting were seen.
- Exact Fed pricing levels to be provided in upcoming STIR bullet.
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09-Oct-24
08-Oct-24
Daily OI Change
Daily OI Change In Packs
SFRU4
1,232,894
1,270,617
-37,723
Whites
-56,446
SFRZ4
1,096,433
1,105,243
-8,810
Reds
-17,465
SFRH5
991,663
1,001,010
-9,347
Greens
-1,418
SFRM5
858,478
859,044
-566
Blues
-8,110
SFRU5
686,598
686,853
-255
SFRZ5
946,334
951,278
-4,944
SFRH6
608,441
609,454
-1,013
SFRM6
596,359
607,612
-11,253
SFRU6
550,252
553,711
-3,459
SFRZ6
624,826
617,536
+7,290
SFRH7
361,929
366,725
-4,796
SFRM7
305,740
306,193
-453
SFRU7
258,988
265,618
-6,630
SFRZ7
252,606
252,922
-316
SFRH8
187,571
186,645
+926
SFRM8
157,038
159,128
-2,090
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