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

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.