May 13, 2024 10:53 GMT
OI Points To Long Cover In SOFR Reds On Friday
STIR
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-24 | 09-May-24 | Daily OI Change | Daily OI Change In Packs | ||
SFIH4 | 249,375 | 250,796 | -1,421 | Whites | +2,307 |
SFIM4 | 296,043 | 290,099 | +5,944 | Reds | -23,283 |
SFIU4 | 239,803 | 240,392 | -589 | Greens | -315 |
SFIZ4 | 297,651 | 299,278 | -1,627 | Blues | -253 |
SFIH5 | 192,856 | 193,943 | -1,087 | ||
SFIM5 | 183,655 | 188,764 | -5,109 | ||
SFIU5 | 128,039 | 131,842 | -3,803 | ||
SFIZ5 | 155,843 | 169,127 | -13,284 | ||
SFIH6 | 104,688 | 102,761 | +1,927 | ||
SFIM6 | 71,288 | 73,176 | -1,888 | ||
SFIU6 | 55,647 | 55,984 | -337 | ||
SFIZ6 | 62,259 | 62,276 | -17 | ||
SFIH7 | 53,390 | 53,283 | +107 | ||
SFIM7 | 42,354 | 40,915 | +1,439 | ||
SFIU7 | 35,979 | 37,390 | -1,411 | ||
SFIZ7 | 37,226 | 37,614 | -388 |
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