STIR: Short Setting Most Prominent During Tuesday's Downtick In SOFR Futures
OI data points to a mix of net short setting and long cover during Tuesday’s downtick in SOFR futures, with the former providing the largest curve-wide impact.
- The largest net OI swing came via apparent net short setting in SFRM6.
| 10-Dec-24 | 09-Dec-24 | Daily OI Change |
| Daily OI Change In Packs |
SFRU4 | 1,218,522 | 1,227,260 | -8,738 | Whites | +18,307 |
SFRZ4 | 1,349,090 | 1,334,987 | +14,103 | Reds | +9,327 |
SFRH5 | 1,082,292 | 1,075,099 | +7,193 | Greens | -11,779 |
SFRM5 | 1,006,586 | 1,000,837 | +5,749 | Blues | +1,267 |
SFRU5 | 806,948 | 823,560 | -16,612 |
|
|
SFRZ5 | 936,092 | 929,501 | +6,591 |
|
|
SFRH6 | 557,714 | 558,849 | -1,135 |
|
|
SFRM6 | 636,994 | 616,511 | +20,483 |
|
|
SFRU6 | 629,374 | 636,592 | -7,218 |
|
|
SFRZ6 | 712,580 | 723,747 | -11,167 |
|
|
SFRH7 | 419,897 | 417,585 | +2,312 |
|
|
SFRM7 | 362,016 | 357,722 | +4,294 |
|
|
SFRU7 | 290,575 | 290,792 | -217 |
|
|
SFRZ7 | 287,554 | 284,946 | +2,608 |
|
|
SFRH8 | 199,423 | 200,176 | -753 |
|
|
SFRM8 | 156,793 | 157,164 | -371 |
|
|
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
EURIBOR OPTIONS: Large outright put buyer
0RZ4 97.87p, bought for 4.75 in 18k vs 4.14k at 98.075 in ERZ5.
OUTLOOK: EURUSD Bears Remain In The Driver's Seat
- In FX, a sharp sell-off on Nov 6 in EURUSD highlighted a resumption of the current downtrend. The move down resulted in a reversal of the recent Oct 23 - Nov 5 correction and a breach of 1.0761, the Oct 23 low. Today’s fresh cycle low reinforces the bearish theme. Sights are on 1.0611, the 38.2% retracement of the Sep ‘22 - Jul ‘23 bull cycle. Initial firm resistance is at 1.0850 20-day EMA.
- The trend condition in GBPUSD remains bearish and last week’s fresh cycle low reinforces current conditions. The move down highlighted the end of the recent corrective bounce and confirms a resumption of the downtrend. Key short-term support and the bear trigger at 1.2844, the Oct 31 low, has been pierced. A clear break of it would open 1.2799, the Aug 15 low. Key short-term resistance has been defined at 1.3048, the Nov 6 high.
- The USDJPY trend needle continues to point north and the pair is trading closer to its recent highs. Price has breached resistance at 153.88, the Oct 28 high, reinforcing a bullish condition. Sights are on 155.27, a 2.00 projection of the Sep 16 - 27 - 30 price swing. Initial firm support is 151.56, the 20-day EMA. A break of this average would instead signal the start of a short-term corrective cycle.
OPTIONS: Expiries for Nov11 NY cut 1000ET (Source DTCC)
- EUR/USD: $1.0700(E530mln), $1.0780-00(E1.1bln), $1.0850-70(E1.2bln), $1.1050-70(E1.7bln), $1.1100(E1.6bln)
- AUD/USD: $0.6650(A$608mln)
- USD/CAD: C$1.3740($1.3bln), C$1.4065($1.4bln)
