Config.
Marché
Rapport
Unité

COT Fed Funds (ZQ)

Période
Échelle

As-of mardi · close vendredi · source CFTC

Long vs Short

Long et short en % d’OI (catégorie focus)

Δ 4 semaines

Variation du net vs le rapport d’il y a 4 semaines

Cette semaine

Catégorie Long Short Spreading Net Δ Long Δ Short Δ Net % OI long % OI short

Historique

Rates · Short-term · CBOT

What is the Fed Funds (ZQ) futures contract?

30-Day Fed Funds (ZQ)

A long means…

Exposure to a rise in the Fed Funds futures price. Quoted 100 minus the rate: when the price rises, the market is pricing a lower overnight.

What is this?

30-day Fed Funds is the CBOT future on the calendar-month average effective federal funds rate (EFFR): unsecured overnight between banks, published by the New York Fed. The FOMC sets a target; EFFR is the realized rate. Quoted 100 minus the rate: when the price rises, the market is pricing a lower overnight. Banks and managers use it to sit on the Fed decision.

It is not SOFR, which is collateralized by Treasuries, even though the 1-month SOFR calendar is the same. It is not a Treasury note.

Pitfalls

  • Not a Treasury: no Note delivery.
  • Not 3-month SOFR (SR3) and not 1-month SOFR (SR1).
  • Quoted 100 minus the rate: long the price = short implied overnight.
  • Calendar month, not an IMM quarter.

Univers LIX

Le positionnement n’est pas le risque

Le COT décrit qui est positionné. Le LIX décrit le niveau de risque de marché — 12 indicateurs, hors COT.