OI data points to a mix of net short setting and long cover across much of the SOFR futures strip on Wednesday, with the only exception coming via modest net short cover in SFRH5.
| 23-Apr-25 | 22-Apr-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRH5 | 1,109,144 | 1,113,665 | -4,521 | Whites | -2,776 |
SFRM5 | 1,229,318 | 1,209,937 | +19,381 | Reds | -14,495 |
SFRU5 | 959,067 | 959,908 | -841 | Greens | -8,710 |
SFRZ5 | 1,062,654 | 1,079,449 | -16,795 | Blues | +9,260 |
SFRH6 | 688,970 | 682,850 | +6,120 |
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SFRM6 | 693,340 | 686,896 | +6,444 |
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SFRU6 | 674,355 | 664,602 | +9,753 |
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SFRZ6 | 828,281 | 865,093 | -36,812 |
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SFRH7 | 608,173 | 607,350 | +823 |
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SFRM7 | 547,483 | 549,376 | -1,893 |
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SFRU7 | 368,656 | 368,428 | +228 |
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SFRZ7 | 386,533 | 394,401 | -7,868 |
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SFRH8 | 259,381 | 254,362 | +5,019 |
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SFRM8 | 181,504 | 180,939 | +565 |
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SFRU8 | 136,713 | 135,061 | +1,652 |
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SFRZ8 | 154,526 | 152,502 | +2,024 |
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Find more articles and bullets on these widgets:
The 0.5bp tail at today’s 4.75% Oct-43 Gilt auction was the widest of the eight re-openings for this line (previous range 0.1-0.4bps). Meanwhile, this was the first auction for this line that saw a bid-to-cover of below 3.00x (2.97x at today’s auction, average across the seven prior re-openings: 3.42x).
The secondary market price of the Gilt has fallen to 94.212 since the auction results were published (vs a lowest accepted price of 94.263 and a pre-auction mid-price of 94.230).
SOFR FIX - Source BBG/CME
EURIBOR FIX - EMMI/Bloomberg