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Hawkish Powell Speech Would Threaten Dovish SOFR Positioning

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OI data points to a mix of net short setting and long cover during yesterday’s move lower in SOFR futures, as Fedspeak generally cautioned against the idea of a sharp start to the cutting cycle.

  • Still, we would suggest that market positioning remains long SOFR futures ahead of Fed Chair Powell’s Jackson Hole address.
  • Long SOFR call positioning is also noted, while Tsy positioning feels a little long and USD positioning seems short.
  • This means that a hawkish address from Powell presents the greatest risk to prevailing market positioning.
22-Aug-2421-Aug-24Daily OI ChangeDaily OI Change In Packs
SFRM41,128,1061,132,057-3,951Whites+34,351
SFRU41,199,4331,180,701+18,732Reds+14,483
SFRZ41,168,9961,160,319+8,677Greens+19,477
SFRH5909,596898,703+10,893Blues-13,566
SFRM5858,698841,985+16,713
SFRU5684,283696,448-12,165
SFRZ5905,266914,673-9,407
SFRH6686,969667,627+19,342
SFRM6696,832680,422+16,410
SFRU6567,793562,535+5,258
SFRZ6489,796490,990-1,194
SFRH7267,966268,963-997
SFRM7260,226260,336-110
SFRU7204,528211,384-6,856
SFRZ7249,233254,768-5,535
SFRH8168,785169,850-1,065
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OI data points to a mix of net short setting and long cover during yesterday’s move lower in SOFR futures, as Fedspeak generally cautioned against the idea of a sharp start to the cutting cycle.

  • Still, we would suggest that market positioning remains long SOFR futures ahead of Fed Chair Powell’s Jackson Hole address.
  • Long SOFR call positioning is also noted, while Tsy positioning feels a little long and USD positioning seems short.
  • This means that a hawkish address from Powell presents the greatest risk to prevailing market positioning.
22-Aug-2421-Aug-24Daily OI ChangeDaily OI Change In Packs
SFRM41,128,1061,132,057-3,951Whites+34,351
SFRU41,199,4331,180,701+18,732Reds+14,483
SFRZ41,168,9961,160,319+8,677Greens+19,477
SFRH5909,596898,703+10,893Blues-13,566
SFRM5858,698841,985+16,713
SFRU5684,283696,448-12,165
SFRZ5905,266914,673-9,407
SFRH6686,969667,627+19,342
SFRM6696,832680,422+16,410
SFRU6567,793562,535+5,258
SFRZ6489,796490,990-1,194
SFRH7267,966268,963-997
SFRM7260,226260,336-110
SFRU7204,528211,384-6,856
SFRZ7249,233254,768-5,535
SFRH8168,785169,850-1,065