STIR: Net Long Setting & Short Cover Seen In SOFR Futures On Thursday
OI data points to a mix of net long setting and short cover during yesterday’s rally in SOFR futures, as the market reacted to the soft PCE readthrough from the PPI data.
- Net long setting was more prominent in strip-wide terms.
| 13-Feb-25 | 12-Feb-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRZ4 | 1,035,809 | 1,033,216 | +2,593 | Whites | +21,636 |
SFRH5 | 1,210,508 | 1,211,052 | -544 | Reds | -21,368 |
SFRM5 | 1,128,623 | 1,114,878 | +13,745 | Greens | +16,843 |
SFRU5 | 827,841 | 821,999 | +5,842 | Blues | +3,740 |
SFRZ5 | 998,839 | 1,013,020 | -14,181 |
|
|
SFRH6 | 710,792 | 699,124 | +11,668 |
|
|
SFRM6 | 694,283 | 713,185 | -18,902 |
|
|
SFRU6 | 600,376 | 600,329 | +47 |
|
|
SFRZ6 | 756,472 | 743,948 | +12,524 |
|
|
SFRH7 | 477,654 | 483,451 | -5,797 |
|
|
SFRM7 | 461,919 | 461,042 | +877 |
|
|
SFRU7 | 304,195 | 294,956 | +9,239 |
|
|
SFRZ7 | 333,086 | 328,844 | +4,242 |
|
|
SFRH8 | 222,811 | 220,145 | +2,666 |
|
|
SFRM8 | 187,378 | 189,239 | -1,861 |
|
|
SFRU8 | 119,333 | 120,640 | -1,307 |
|
|
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
SONIA: More upside Option structures
SFIM5 95.70/95.85/96.00c fly, bought for 2.75 in 6k.
EQUITIES: Estoxx Weekly Option
WSX5E (24th Jan) 4300p, bought for 0.40 and 0.50 in 20k.
US INFLATION: December CPI Preview And Detailed Analyst Expectations
Re-upping our US CPI preview (PDF) ahead of the release in just over 2 hours (0830ET).
- A summary of analyst expectations is in the image below (as noted earlier, consensus doesn't appear to have changed after PPI).
