STIR: Short Setting Dominated In SOFR Futures Tuesday
OI data points to short setting in 14 of the front 16 SOFR futures during yesterday’s sell off, as the inflationary impact of Trump’s policy preferences and his cabinet appointments kept pressure on the strip.
- Only very modest rounds of net long cover broke the wider theme.
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12-Nov-24
11-Nov-24
Daily OI Change
Daily OI Change In Packs
SFRU4
1,274,237
1,268,974
+5,263
Whites
+44,799
SFRZ4
1,232,344
1,201,894
+30,450
Reds
+62,379
SFRH5
1,072,887
1,068,906
+3,981
Greens
+37,062
SFRM5
957,623
952,518
+5,105
Blues
+4,431
SFRU5
724,088
718,067
+6,021
SFRZ5
968,971
944,516
+24,455
SFRH6
656,334
629,882
+26,452
SFRM6
610,079
604,628
+5,451
SFRU6
549,048
538,502
+10,546
SFRZ6
639,994
622,137
+17,857
SFRH7
399,408
392,102
+7,306
SFRM7
328,020
326,667
+1,353
SFRU7
267,219
267,693
-474
SFRZ7
266,617
267,175
-558
SFRH8
206,412
204,389
+2,023
SFRM8
157,038
153,598
+3,440