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No Real Theme In Friday’s SOFR Futures Positioning

STIR
FOMC Calendar Market NewsHomepageBulletMarketsFixed Income Bullets

The combination of Friday's twist steepening of the SOFR futures strip and preliminary OI data fails to reveal a real theme on the positioning front.

  • Participants had to assess the slightly softer-than-expected unrounded core PCE data, which was followed by some notable weakness in Tsys ahead of month-end, leaving Tsy yields higher on the day.
  • Dec ’24 FOMC-dated OIS saw a modest hawkish adjustment as the impact of the move in the long end outweighed the PCE data, showing ~40bp of cuts through year end vs. ~42.5bp late on Thursday.
28-Jun-2427-Jun-24Daily OI ChangeDaily OI Change In Packs
SFRM41,228,1551,231,783-3,628Whites+1,188
SFRU41,144,6951,143,681+1,014Reds+10,457
SFRZ4999,184991,844+7,340Greens+7,298
SFRH5808,147811,685-3,538Blues+3,797
SFRM5706,733701,847+4,886
SFRU5632,010627,311+4,699
SFRZ5808,019807,435+584
SFRH6561,421561,133+288
SFRM6481,511480,669+842
SFRU6415,871419,378-3,507
SFRZ6354,092354,005+87
SFRH7250,507240,631+9,876
SFRM7237,616229,009+8,607
SFRU7183,873185,633-1,760
SFRZ7172,159175,925-3,766
SFRH8111,353110,637+716
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The combination of Friday's twist steepening of the SOFR futures strip and preliminary OI data fails to reveal a real theme on the positioning front.

  • Participants had to assess the slightly softer-than-expected unrounded core PCE data, which was followed by some notable weakness in Tsys ahead of month-end, leaving Tsy yields higher on the day.
  • Dec ’24 FOMC-dated OIS saw a modest hawkish adjustment as the impact of the move in the long end outweighed the PCE data, showing ~40bp of cuts through year end vs. ~42.5bp late on Thursday.
28-Jun-2427-Jun-24Daily OI ChangeDaily OI Change In Packs
SFRM41,228,1551,231,783-3,628Whites+1,188
SFRU41,144,6951,143,681+1,014Reds+10,457
SFRZ4999,184991,844+7,340Greens+7,298
SFRH5808,147811,685-3,538Blues+3,797
SFRM5706,733701,847+4,886
SFRU5632,010627,311+4,699
SFRZ5808,019807,435+584
SFRH6561,421561,133+288
SFRM6481,511480,669+842
SFRU6415,871419,378-3,507
SFRZ6354,092354,005+87
SFRH7250,507240,631+9,876
SFRM7237,616229,009+8,607
SFRU7183,873185,633-1,760
SFRZ7172,159175,925-3,766
SFRH8111,353110,637+716