July 04, 2024 10:24 GMT
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-24 | 02-Jul-24 | Daily OI Change | Daily OI Change In Packs | ||
SFRM4 | 1,209,132 | 1,199,808 | +9,324 | Whites | +17,546 |
SFRU4 | 1,121,750 | 1,140,351 | -18,601 | Reds | +34,929 |
SFRZ4 | 1,018,614 | 998,044 | +20,570 | Greens | +14,579 |
SFRH5 | 822,625 | 816,372 | +6,253 | Blues | +12,603 |
SFRM5 | 734,132 | 727,390 | +6,742 | ||
SFRU5 | 665,771 | 651,724 | +14,047 | ||
SFRZ5 | 814,781 | 803,322 | +11,459 | ||
SFRH6 | 559,027 | 556,346 | +2,681 | ||
SFRM6 | 481,606 | 483,636 | -2,030 | ||
SFRU6 | 421,851 | 421,683 | +168 | ||
SFRZ6 | 380,859 | 363,465 | +17,394 | ||
SFRH7 | 251,101 | 252,054 | -953 | ||
SFRM7 | 241,332 | 242,371 | -1,039 | ||
SFRU7 | 182,841 | 181,066 | +1,775 | ||
SFRZ7 | 177,574 | 166,444 | +11,130 | ||
SFRH8 | 115,080 | 114,343 | +737 |
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