SOFR: Mix Of Long Cover & Short Setting In Futures On Wednesday
OI data points to a mix of net long cover and short setting as SOFR futures ticked lower on Wednesday.
- Net long cover was slightly more prominent in the whites, before net short cover came to the fore further out the strip.
| 15-Oct-25 | 14-Oct-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRU5 | 1,423,545 | 1,425,083 | -1,538 | Whites | -3,931 |
SFRZ5 | 1,553,164 | 1,544,991 | +8,173 | Reds | +29,803 |
SFRH6 | 1,124,693 | 1,137,141 | -12,448 | Greens | +9,973 |
SFRM6 | 1,024,370 | 1,022,488 | +1,882 | Blues | +8,381 |
SFRU6 | 1,008,497 | 1,009,768 | -1,271 |
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SFRZ6 | 1,027,678 | 1,008,008 | +19,670 |
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SFRH7 | 816,957 | 802,745 | +14,212 |
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SFRM7 | 781,170 | 783,978 | -2,808 |
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SFRU7 | 686,148 | 680,903 | +5,245 |
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SFRZ7 | 773,574 | 749,910 | +23,664 |
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SFRH8 | 425,118 | 440,799 | -15,681 |
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SFRM8 | 373,657 | 376,912 | -3,255 |
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SFRU8 | 306,465 | 302,753 | +3,712 |
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SFRZ8 | 329,356 | 327,253 | +2,103 |
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SFRH9 | 194,499 | 193,814 | +685 |
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SFRM9 | 174,304 | 172,423 | +1,881 |
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SOFR: Fresh Positions Set Across Much Of Futures Strip On Monday
OI data points to net short setting dominating in the whites, before net long setting came to the fore in the reds, greens and blues, as the SOFR futures strip twist flattened on Monday. Instances of net cover were relatively limited.
| 15-Sep-25 | 12-Sep-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRM5 | 1,226,388 | 1,231,587 | -5,199 | Whites | +36,849 |
SFRU5 | 1,460,296 | 1,445,541 | +14,755 | Reds | +113,651 |
SFRZ5 | 1,687,814 | 1,661,741 | +26,073 | Greens | +1,475 |
SFRH6 | 1,193,610 | 1,192,390 | +1,220 | Blues | +24,843 |
SFRM6 | 1,015,538 | 997,991 | +17,547 |
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SFRU6 | 939,719 | 908,441 | +31,278 |
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SFRZ6 | 1,031,355 | 1,015,659 | +15,696 |
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SFRH7 | 759,079 | 709,949 | +49,130 |
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SFRM7 | 821,609 | 823,158 | -1,549 |
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SFRU7 | 679,741 | 685,106 | -5,365 |
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SFRZ7 | 694,945 | 690,926 | +4,019 |
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SFRH8 | 452,127 | 447,757 | +4,370 |
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SFRM8 | 368,093 | 361,590 | +6,503 |
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SFRU8 | 262,818 | 251,246 | +11,572 |
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SFRZ8 | 265,019 | 259,301 | +5,718 |
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SFRH9 | 183,370 | 182,320 | +1,050 |
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SOFR: SFRU8/Z8 Steepener Flow
SFRU8/Z8 paper paid 4.5 on 4.2K
