Config.
Marché
Rapport
Unité

COT SOFR 1M (SR1)

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 · CME

What is the One-Month SOFR (SR1) futures contract?

One-Month SOFR (SR1)

Satellite of SOFR 3M (SR3)

A long means…

Exposure to a rise in the 1-month SOFR futures price. Quoted 100 minus the rate: when the price rises, the calendar-month average falls.

What is this?

One-month SOFR is the arithmetic average of SOFR over a calendar month — not the IMM-quarter compound. Same secured overnight (Treasury repo) as the 3-month, different calendar: the month here, IMM Wednesdays there. Quoted 100 minus the rate: when the price rises, that average falls. Banks use it for the current month; managers to sit around a Fed decision.

The calendar looks like Fed Funds; the rate is not the same: SOFR here, unsecured EFFR there.

Pitfalls

  • Not SR3 (IMM quarter, ~$1m).
  • Notional is $5m, like ZQ, not $1m.
  • Secured SOFR is not EFFR (Fed Funds).

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.