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OI Points To Long Cover In SOFR Reds On Friday

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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
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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