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Tuesday's SOFR Fly Update: Open Interest Climbs Higher

STIR FUTURES

Update on early Tuesday's large Fly sale over -70,000 SFRH5/SFRM5/SFRU5 from -0.075 to -0.080. Open interest gained +33,202 in Mar'25, +72,507 in Jun'25 and 10,205 in Sep'25 as a result. "The trade doesn't seem to have much of a tailwind in terms of curve roll as the fly in front, Z4/H5/M5 settled -0.085," one desk added.

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