OI data points to a mix of net long cover (SFRZ5) and short setting (SFRH6) in the very front end of the SOFR futures strip on Wednesday, before a mix of net long setting and short cover became apparent in SFRU6 and beyond.
| 07-Jan-26 | 06-Jan-26 | Daily OI Change |
| Daily OI Change In Packs |
SFRZ5 | 1,468,037 | 1,475,045 | -7,008 | Whites | +37,328 |
SFRH6 | 1,318,857 | 1,298,554 | +20,303 | Reds | -4,518 |
SFRM6 | 1,174,618 | 1,172,726 | +1,892 | Greens | -7,495 |
SFRU6 | 1,242,437 | 1,220,296 | +22,141 | Blues | +898 |
SFRZ6 | 1,219,618 | 1,194,582 | +25,036 |
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SFRH7 | 864,715 | 866,112 | -1,397 |
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SFRM7 | 755,007 | 758,442 | -3,435 |
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SFRU7 | 768,257 | 792,979 | -24,722 |
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SFRZ7 | 849,037 | 864,386 | -15,349 |
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SFRH8 | 473,534 | 469,958 | +3,576 |
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SFRM8 | 421,547 | 420,456 | +1,091 |
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SFRU8 | 370,578 | 367,391 | +3,187 |
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SFRZ8 | 348,907 | 346,578 | +2,329 |
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SFRH9 | 218,247 | 215,390 | +2,857 |
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SFRM9 | 215,510 | 216,288 | -778 |
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SFRU9 | 165,969 | 169,479 | -3,510 |
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