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OI Points To Long Setting Dominating In SOFR Futures Following Wednesday’s Data

STIR

The combination of yesterday’s rally in SOFR futures and preliminary OI points to net long setting as the dominant positioning factor, as markets reacted to the softer-than-expected U.S. economic activity and labour market data.

  • Some pockets of net short cover were also seen, with the most prominent round of that flow coming in SFRU4.
  • FOMC-dated OIS moved to price ~43bp of cuts vs. ~40bp heading into the data, sticking comfortably within the 28-55bp range seen since late May.
03-Jul-2402-Jul-24Daily OI ChangeDaily OI Change In Packs
SFRM41,209,1321,199,808+9,324Whites+17,546
SFRU41,121,7501,140,351-18,601Reds+34,929
SFRZ41,018,614998,044+20,570Greens+14,579
SFRH5822,625816,372+6,253Blues+12,603
SFRM5734,132727,390+6,742
SFRU5665,771651,724+14,047
SFRZ5814,781803,322+11,459
SFRH6559,027556,346+2,681
SFRM6481,606483,636-2,030
SFRU6421,851421,683+168
SFRZ6380,859363,465+17,394
SFRH7251,101252,054-953
SFRM7241,332242,371-1,039
SFRU7182,841181,066+1,775
SFRZ7177,574166,444+11,130
SFRH8115,080114,343+737
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The combination of yesterday’s rally in SOFR futures and preliminary OI points to net long setting as the dominant positioning factor, as markets reacted to the softer-than-expected U.S. economic activity and labour market data.

  • Some pockets of net short cover were also seen, with the most prominent round of that flow coming in SFRU4.
  • FOMC-dated OIS moved to price ~43bp of cuts vs. ~40bp heading into the data, sticking comfortably within the 28-55bp range seen since late May.
03-Jul-2402-Jul-24Daily OI ChangeDaily OI Change In Packs
SFRM41,209,1321,199,808+9,324Whites+17,546
SFRU41,121,7501,140,351-18,601Reds+34,929
SFRZ41,018,614998,044+20,570Greens+14,579
SFRH5822,625816,372+6,253Blues+12,603
SFRM5734,132727,390+6,742
SFRU5665,771651,724+14,047
SFRZ5814,781803,322+11,459
SFRH6559,027556,346+2,681
SFRM6481,606483,636-2,030
SFRU6421,851421,683+168
SFRZ6380,859363,465+17,394
SFRH7251,101252,054-953
SFRM7241,332242,371-1,039
SFRU7182,841181,066+1,775
SFRZ7177,574166,444+11,130
SFRH8115,080114,343+737