October 18, 2024 10:42 GMT
STIR: OI Suggests Short Setting Dominated In SOFR Futures On Thursday
STIR
OI points to net short setting dominating on the SOFR futures strip during Thursday’s retail sales-driven sell off.
- Only modest, fairly isolated rounds of net long cover seen
- Dovish ECB pricing provides some marginal counter ahead of NY trade.
- Fed Funds pricing cumulative cuts from 4.83% effective: 23bp Nov, 44bp Dec, 61bp Jan and 118bp June.
|
17-Oct-24
16-Oct-24
Daily OI Change
Daily OI Change In Packs
SFRU4
1,240,770
1,240,620
+150
Whites
+17,009
SFRZ4
1,039,598
1,054,193
-14,595
Reds
+81,587
SFRH5
1,013,519
981,631
+31,888
Greens
+1,966
SFRM5
861,407
861,841
-434
Blues
+710
SFRU5
717,401
696,862
+20,539
SFRZ5
957,411
908,331
+49,080
SFRH6
612,449
609,445
+3,004
SFRM6
611,013
602,049
+8,964
SFRU6
543,390
546,337
-2,947
SFRZ6
617,544
614,089
+3,455
SFRH7
360,155
356,906
+3,249
SFRM7
310,463
312,254
-1,791
SFRU7
254,894
253,563
+1,331
SFRZ7
252,156
252,757
-601
SFRH8
180,821
181,093
-272
SFRM8
150,953
150,701
+252
Keep reading...Show less
72 words