October 01, 2024 10:52 GMT
STIR: Short Setting Dominated In SOFR Front End During Monday's Sell Off
STIR
OI points to a mix of short setting and long cover during Monday’s sell off in SOFR futures.
- Short setting dominated in the front 5 contracts, after Fed Chair Powell noted that that the central planned to lower interest rates “over time”.
- This removed some rate cut premium from the front end of the U.S. curve, as odds of a 50bp follow up cut in Nov fell.
- Fed funds now price 35bp of cuts for November, with ~167bp of easing showing through June.
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30-Sep-24
27-Sep-24
Daily OI Change
Daily OI Change In Packs
SFRU4
1,336,485
1,302,853
+33,632
Whites
+74,459
SFRZ4
1,406,139
1,370,897
+35,242
Reds
-20,691
SFRH5
1,089,926
1,089,528
+398
Greens
-6,352
SFRM5
923,901
918,714
+5,187
Blues
-362
SFRU5
696,745
689,450
+7,295
SFRZ5
996,345
1,016,875
-20,530
SFRH6
699,718
702,985
-3,267
SFRM6
634,680
638,869
-4,189
SFRU6
563,479
552,092
+11,387
SFRZ6
606,404
627,500
-21,096
SFRH7
369,917
365,695
+4,222
SFRM7
318,383
319,248
-865
SFRU7
261,250
259,043
+2,207
SFRZ7
227,180
229,717
-2,537
SFRH8
181,169
180,168
+1,001
SFRM8
154,792
155,825
-1,033
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