November 28, 2024 11:35 GMT
STIR: Short Cover Dominated In Front End Of SOFR Strip On Wednesday
STIR
OI data points to net short cover in most of the white and red SOFR futures on Wednesday, with only relatively modest net long setting in SFRU4 & U5 breaking that trend.
- The largest net OI swing came in SFRZ5.
- Positioning swings were a little more balanced further out the curve, with pockets of both net long setting and short cover noted.
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27-Nov-24
26-Nov-24
Daily OI Change
Daily OI Change In Packs
SFRU4
1,264,881
1,260,723
+4,158
Whites
-47,029
SFRZ4
1,323,378
1,347,913
-24,535
Reds
-77,907
SFRH5
1,030,313
1,037,996
-7,683
Greens
+5,204
SFRM5
987,220
1,006,189
-18,969
Blues
-1,386
SFRU5
799,081
793,199
+5,882
SFRZ5
904,542
958,128
-53,586
SFRH6
572,328
582,215
-9,887
SFRM6
588,153
608,469
-20,316
SFRU6
646,049
653,473
-7,424
SFRZ6
667,142
651,634
+15,508
SFRH7
411,786
414,117
-2,331
SFRM7
345,783
346,332
-549
SFRU7
274,582
274,086
+496
SFRZ7
283,721
279,639
+4,082
SFRH8
206,878
209,904
-3,026
SFRM8
154,923
157,861
-2,938
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