* Fed Funds implied rates for meetings out to mid-2026 hold their hawkish tilt seen yesterday with...
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RXG6 128 puts paper paid 52 on 8K vs. RXZ5 128.00 puts at 6.5, rolling out the curve.
OI data points to net short setting dominating as the SOFR futures strip twist steepened on Friday.
| 07-Nov-25 | 06-Nov-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRU5 | 1,368,954 | 1,363,750 | +5,204 | Whites | +34,537 |
SFRZ5 | 1,463,465 | 1,429,462 | +34,003 | Reds | +20,745 |
SFRH6 | 1,200,012 | 1,204,612 | -4,600 | Greens | +31,944 |
SFRM6 | 1,090,951 | 1,091,021 | -70 | Blues | +7,049 |
SFRU6 | 1,101,732 | 1,100,311 | +1,421 |
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SFRZ6 | 1,202,057 | 1,202,939 | -882 |
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SFRH7 | 841,411 | 834,972 | +6,439 |
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SFRM7 | 813,661 | 799,894 | +13,767 |
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SFRU7 | 765,582 | 748,577 | +17,005 |
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SFRZ7 | 804,505 | 804,277 | +228 |
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SFRH8 | 438,003 | 426,474 | +11,529 |
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SFRM8 | 406,936 | 403,754 | +3,182 |
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SFRU8 | 352,757 | 343,579 | +9,178 |
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SFRZ8 | 331,139 | 332,094 | -955 |
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SFRH9 | 203,432 | 203,438 | -6 |
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SFRM9 | 186,997 | 188,165 | -1,168 |
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SF Fed’s Daly has published an essay (link) on the likely negative demand shock hitting the economy and the need for a balanced approach to policy setting. Her remarks support her dovish leaning stance, having last week said she completely supported the October 25bp cut and wants to keep an open mind about cutting again in December (although she doesn’t have a voting role in either 2025 or 2026).