SOFR: Net Long Setting In SFRU6 Most Prominent In Futures On Thursday
OI data suggests that net long setting in SFRU6 provided the only real positioning swing of note in futures on Thursday, presumably aided by a 10K block buyer of the SFRZ5-U6 pack in the NY morning.
| 02-Oct-25 | 01-Oct-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRU5 | 1,422,754 | 1,408,149 | +14,605 | Whites | -799 |
SFRZ5 | 1,479,296 | 1,485,310 | -6,014 | Reds | +43,221 |
SFRH6 | 1,170,713 | 1,186,221 | -15,508 | Greens | -2,524 |
SFRM6 | 1,034,072 | 1,027,954 | +6,118 | Blues | +2,297 |
SFRU6 | 979,121 | 939,796 | +39,325 |
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SFRZ6 | 1,039,001 | 1,033,391 | +5,610 |
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SFRH7 | 779,636 | 777,462 | +2,174 |
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SFRM7 | 787,240 | 791,128 | -3,888 |
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SFRU7 | 677,232 | 681,964 | -4,732 |
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SFRZ7 | 729,623 | 731,577 | -1,954 |
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SFRH8 | 423,536 | 416,492 | +7,044 |
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SFRM8 | 356,082 | 358,964 | -2,882 |
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SFRU8 | 285,771 | 287,775 | -2,004 |
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SFRZ8 | 309,216 | 303,300 | +5,916 |
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SFRH9 | 186,376 | 187,151 | -775 |
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SFRM9 | 171,534 | 172,374 | -840 |
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EU-BILL AUCTION RESULTS: 3/6/12-Month EU-Bills
| Type | 3-month EU-bill | 6-month EU-bill | 12-month EU-bill |
| Maturity | Dec 5, 2025 | Mar 6, 2026 | Sep 4, 2026 |
| Amount | E817mln | E894mln | E997mln |
| Target | E1.0bln | E1.0bln | E1.0bln |
| Previous | E907mln | E917mln | E1.303bln |
| Avg yield | 1.946% | 1.968% | 1.982% |
| Previous | 1.946% | 1.945% | 1.937% |
| Bid-to-cover | 1.85x | 1.83x | 1.67x |
| Previous | 2.51x | 2.68x | 2.01x |
| Previous date | Aug 06, 2025 | Aug 06, 2025 | Aug 06, 2025 |
EQUITY OPTIONS: Estoxx rolling Put
SX5E (19th Dec vs 20/03/26) 5100p, bought the March for 51.5 in 8k (rolling Put).
SOFR: Mix Of Short Setting & Long Cover Seen In Most Futures On Tuesday
OI data suggests that a mix of net short setting and long cover was seen in most SOFR futures on Tuesday, with net short setting dominating in the whites and greens, while net long cover was slightly more prominent in the reds.
| 02-Sep-25 | 01-Sep-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRM5 | 1,166,953 | 1,160,164 | +6,789 | Whites | +62,253 |
SFRU5 | 1,454,004 | 1,443,674 | +10,330 | Reds | -9,943 |
SFRZ5 | 1,546,924 | 1,523,850 | +23,074 | Greens | +57,548 |
SFRH6 | 1,147,888 | 1,125,828 | +22,060 | Blues | +865 |
SFRM6 | 939,376 | 922,771 | +16,605 |
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SFRU6 | 890,464 | 903,283 | -12,819 |
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SFRZ6 | 962,548 | 961,579 | +969 |
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SFRH7 | 724,472 | 739,170 | -14,698 |
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SFRM7 | 817,855 | 798,278 | +19,577 |
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SFRU7 | 638,904 | 637,480 | +1,424 |
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SFRZ7 | 647,815 | 623,292 | +24,523 |
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SFRH8 | 414,910 | 402,886 | +12,024 |
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SFRM8 | 336,559 | 339,727 | -3,168 |
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SFRU8 | 221,803 | 218,161 | +3,642 |
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SFRZ8 | 246,786 | 245,819 | +967 |
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SFRH9 | 162,024 | 162,600 | -576 |
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