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OI Flags Mix Of SOFR Positioning Swings As Markets Digested Powell & Goldman Talk Of July Cut

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The combination of yesterday’s movement in SOFR futures and preliminary OI data suggests that net long setting dominated in the reds on Monday, while short setting seemed to dominate in the greens.

  • Attention centred on Goldman Sachs flagging the possibility of a July Fed cut, while Fed Chair Powell sounded incrementally more constructive when it came to progress on the inflation front, although the latter seemed to disappoint those looking for the latest dovish Fed pivot.
  • The strip still prices lest than 10% odds of a July cut as a result.
  • Further out, pricing in Fed funds futures shifted a little more dovish on the day on net, leaving ~67bp of cuts priced through year end vs. ~63bp late Friday.
15-Jul-2412-Jul-24Daily OI ChangeDaily OI Change In Packs
SFRM41,198,6731,183,685+14,988Whites-452
SFRU41,157,7991,141,371+16,428Reds+45,626
SFRZ41,113,8081,147,592-33,784Greens+22,613
SFRH5853,519851,603+1,916Blues-6,818
SFRM5829,855804,553+25,302
SFRU5707,278707,437-159
SFRZ5896,203889,023+7,180
SFRH6575,541562,238+13,303
SFRM6496,850492,188+4,662
SFRU6447,730443,474+4,256
SFRZ6401,009388,226+12,783
SFRH7239,856238,944+912
SFRM7240,387244,642-4,255
SFRU7190,732192,516-1,784
SFRZ7196,148199,683-3,535
SFRH8125,983123,227+2,756
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The combination of yesterday’s movement in SOFR futures and preliminary OI data suggests that net long setting dominated in the reds on Monday, while short setting seemed to dominate in the greens.

  • Attention centred on Goldman Sachs flagging the possibility of a July Fed cut, while Fed Chair Powell sounded incrementally more constructive when it came to progress on the inflation front, although the latter seemed to disappoint those looking for the latest dovish Fed pivot.
  • The strip still prices lest than 10% odds of a July cut as a result.
  • Further out, pricing in Fed funds futures shifted a little more dovish on the day on net, leaving ~67bp of cuts priced through year end vs. ~63bp late Friday.
15-Jul-2412-Jul-24Daily OI ChangeDaily OI Change In Packs
SFRM41,198,6731,183,685+14,988Whites-452
SFRU41,157,7991,141,371+16,428Reds+45,626
SFRZ41,113,8081,147,592-33,784Greens+22,613
SFRH5853,519851,603+1,916Blues-6,818
SFRM5829,855804,553+25,302
SFRU5707,278707,437-159
SFRZ5896,203889,023+7,180
SFRH6575,541562,238+13,303
SFRM6496,850492,188+4,662
SFRU6447,730443,474+4,256
SFRZ6401,009388,226+12,783
SFRH7239,856238,944+912
SFRM7240,387244,642-4,255
SFRU7190,732192,516-1,784
SFRZ7196,148199,683-3,535
SFRH8125,983123,227+2,756