STIR CTA
Short-term interest-rate futures — SOFR, SONIA, Euribor strips — a specialist language of meeting-to-meeting path trades and pack/bundle spreads.
Definition
Outrights along the strip, calendars, butterflies, and sometimes options. Signals can be systematic on the strip’s shape or discretionary on the next FOMC. This is not the same book as a TY trend short. Liquidity is excellent in the front packs; complexity is the edge.
Why it matters
A hike cycle is a STIR story before it is a 30-year story. Diversified CTAs often treat SOFR as one more trend market and leave the butterflies on the table.
Case
A 2023 ‘higher for longer’ repricing: the 2024 contracts dump while the front holds. A strip butterfly was the trade; a single SOFR front future was not.
How to read it
Outright vs curve weight, and whether they still have LIBOR ghosts in the code. Ask for a packed-meeting week P&L.