November 15, 2024 11:22 GMT
STIR: Short Setting Dominated In SOFR Whites Thursday
STIR
OI data suggests that a mix of net short setting and long cover dominated through SFRH6 on Thursday.
- Beyond there, a mix of net long setting and short cover was seen, as the strip twist flattened.
- A reminder that these inferences are based on settlement prices.
- SOFR futures sold off in post-settlement trade as markets reacted to the latest comments from Fed Chair Powell.
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14-Nov-24
13-Nov-24
Daily OI Change
Daily OI Change In Packs
SFRU4
1,277,621
1,274,923
+2,698
Whites
+122,099
SFRZ4
1,334,822
1,251,185
+83,637
Reds
-43,906
SFRH5
1,068,343
1,072,504
-4,161
Greens
+3,737
SFRM5
979,639
939,714
+39,925
Blues
+1,846
SFRU5
734,681
735,111
-430
SFRZ5
961,269
984,043
-22,774
SFRH6
647,921
652,751
-4,830
SFRM6
607,623
623,495
-15,872
SFRU6
591,142
593,644
-2,502
SFRZ6
647,237
646,818
+419
SFRH7
422,698
418,380
+4,318
SFRM7
336,605
335,103
+1,502
SFRU7
270,920
269,307
+1,613
SFRZ7
263,148
263,349
-201
SFRH8
208,751
208,099
+652
SFRM8
155,230
155,448
-218
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