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OI Points To Further Post-Fed Short Cover In SOFR Whites & Reds On Thursday

STIR

The combination of yesterday’s rally in SOFR futures and preliminary OI data points to another round of net short covering in the whites and reds following the FOMC decision, as the market-implied path for Fed policy rates moved away from recent hawkish extremes.

  • Pockets of long setting did seem to show up in those packs, but were comfortably outweighed.
  • Further out the strip, a solitary round of apparent short cover in SFRM7 broke a run of what seemed to be net long setting in all of the remaining green and blue contracts.
02-May-2401-May-24Daily OI ChangeDaily OI Change In Packs
SFRH4912,363922,811-10,448Whites-10,693
SFRM41,123,7031,123,316+387Reds-31,702
SFRU4997,636989,889+7,747Greens+11,217
SFRZ41,210,2291,218,608-8,379Blues+8,907
SFRH5741,050748,535-7,485
SFRM5830,942848,479-17,537
SFRU5715,846713,164+2,682
SFRZ5806,633815,995-9,362
SFRH6485,000482,592+2,408
SFRM6521,291518,501+2,790
SFRU6395,613390,786+4,827
SFRZ6354,137352,945+1,192
SFRH7239,510237,350+2,160
SFRM7182,235183,579-1,344
SFRU7168,294163,389+4,905
SFRZ7145,129141,943+3,186
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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