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OI Also Points To Low Conviction Monday In SOFR Futures

STIR

The lack of conviction wasn’t long end-specific on Monday, with SOFR futures seemingly subjected to a mix of all possible types of net positioning swings amid marginal and mixed price moves come settlement.

  • The net positioning changes largely netted off to make for limited movement in net pack OIs through the blues.
  • This came as FOMC-dated OIS stabilised around pricing ~40bp of cuts through ’24, which has become a familiar level since the CPI data and recent communique from Fed leadership filtered through into market pricing.
22-Apr-2419-Apr-24Daily OI ChangeDaily OI Change In Packs
SFRH4932,541937,957-5,416Whites-7,598
SFRM41,112,9011,127,329-14,428Reds+3,862
SFRU4978,990968,368+10,622Greens+3,058
SFRZ41,220,0711,218,447+1,624Blues+5,340
SFRH5728,130728,001+129
SFRM5800,106802,930-2,824
SFRU5696,698679,273+17,425
SFRZ5796,961807,829-10,868
SFRH6482,325488,189-5,864
SFRM6494,085494,000+85
SFRU6373,851373,072+779
SFRZ6346,453338,395+8,058
SFRH7235,992230,115+5,877
SFRM7186,758187,896-1,138
SFRU7170,167170,711-544
SFRZ7150,692149,547+1,145
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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