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OI Points To Long Cover In SOFR Reds On Friday

STIR
FOMC Calendar Market NewsHomepageBulletMarketsFixed Income Bullets

The combination of Friday’s downtick in SOFR futures and OI data points to limited net pack positioning movement outside of the reds.

  • Long cover seemed to dominate in all contracts in that pack.
  • The major input came from the downbeat UoM survey, which saw headline confidence readings fall and an uptick in inflation expectations, triggering further stagflation-related conversations.
  • FOMC-dated OIS pared pricing of ’24 cuts to ~40.5bp from ~44bp ahead of the release.
  • Note that an alteration in the survey collection method may have impacted the data.
  • European holidays may have been a limiting factor for activity, with participants also looking ahead to this week's April CPI release.
10-May-2409-May-24Daily OI ChangeDaily OI Change In Packs
SFIH4249,375250,796-1,421Whites+2,307
SFIM4296,043290,099+5,944Reds-23,283
SFIU4239,803240,392-589Greens-315
SFIZ4297,651299,278-1,627Blues-253
SFIH5192,856193,943-1,087
SFIM5183,655188,764-5,109
SFIU5128,039131,842-3,803
SFIZ5155,843169,127-13,284
SFIH6104,688102,761+1,927
SFIM671,28873,176-1,888
SFIU655,64755,984-337
SFIZ662,25962,276-17
SFIH753,39053,283+107
SFIM742,35440,915+1,439
SFIU735,97937,390-1,411
SFIZ737,22637,614-388
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The combination of Friday’s downtick in SOFR futures and OI data points to limited net pack positioning movement outside of the reds.

  • Long cover seemed to dominate in all contracts in that pack.
  • The major input came from the downbeat UoM survey, which saw headline confidence readings fall and an uptick in inflation expectations, triggering further stagflation-related conversations.
  • FOMC-dated OIS pared pricing of ’24 cuts to ~40.5bp from ~44bp ahead of the release.
  • Note that an alteration in the survey collection method may have impacted the data.
  • European holidays may have been a limiting factor for activity, with participants also looking ahead to this week's April CPI release.
10-May-2409-May-24Daily OI ChangeDaily OI Change In Packs
SFIH4249,375250,796-1,421Whites+2,307
SFIM4296,043290,099+5,944Reds-23,283
SFIU4239,803240,392-589Greens-315
SFIZ4297,651299,278-1,627Blues-253
SFIH5192,856193,943-1,087
SFIM5183,655188,764-5,109
SFIU5128,039131,842-3,803
SFIZ5155,843169,127-13,284
SFIH6104,688102,761+1,927
SFIM671,28873,176-1,888
SFIU655,64755,984-337
SFIZ662,25962,276-17
SFIH753,39053,283+107
SFIM742,35440,915+1,439
SFIU735,97937,390-1,411
SFIZ737,22637,614-388