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OI Points To Long Setting & Short Cover In SOFR Futures On Tues, Fresh Longs In U4 Dominate

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The combination of yesterday's modest uptick in most SOFR futures and preliminary OI data point to a mix of net long setting and short cover through the blues.

  • Long setting dominated in the whites and greens, while short cover dominated in the reds and blues (in net pack OI terms).
  • Canadian CPI data and some focus on the less hawkish elements of the latest address from Fed Governor Waller facilitated the modest rally, with the move paring back from extremes in the second half of NY trade.
  • Heavy screen buying in SFRU4 dominated on the flow side (~40K lifted during the time Waller was speaking), with the net OI change in that contract reflective of fresh longs being set.
21-May-2420-May-24Daily OI ChangeDaily OI Change In Packs
SFRH4936,413935,205+1,208Whites+42,528
SFRM41,247,2781,222,238+25,040Reds-12,066
SFRU41,116,3391,069,076+47,263Greens+19,521
SFRZ41,200,9961,231,979-30,983Blues-4,553
SFRH5794,105791,971+2,134
SFRM5794,325793,956+369
SFRU5693,833712,153-18,320
SFRZ5823,443819,692+3,751
SFRH6540,874531,144+9,730
SFRM6525,935522,186+3,749
SFRU6424,359418,698+5,661
SFRZ6366,241365,860+381
SFRH7253,653252,038+1,615
SFRM7187,240189,803-2,563
SFRU7175,755178,569-2,814
SFRZ7161,358162,149-791
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The combination of yesterday's modest uptick in most SOFR futures and preliminary OI data point to a mix of net long setting and short cover through the blues.

  • Long setting dominated in the whites and greens, while short cover dominated in the reds and blues (in net pack OI terms).
  • Canadian CPI data and some focus on the less hawkish elements of the latest address from Fed Governor Waller facilitated the modest rally, with the move paring back from extremes in the second half of NY trade.
  • Heavy screen buying in SFRU4 dominated on the flow side (~40K lifted during the time Waller was speaking), with the net OI change in that contract reflective of fresh longs being set.
21-May-2420-May-24Daily OI ChangeDaily OI Change In Packs
SFRH4936,413935,205+1,208Whites+42,528
SFRM41,247,2781,222,238+25,040Reds-12,066
SFRU41,116,3391,069,076+47,263Greens+19,521
SFRZ41,200,9961,231,979-30,983Blues-4,553
SFRH5794,105791,971+2,134
SFRM5794,325793,956+369
SFRU5693,833712,153-18,320
SFRZ5823,443819,692+3,751
SFRH6540,874531,144+9,730
SFRM6525,935522,186+3,749
SFRU6424,359418,698+5,661
SFRZ6366,241365,860+381
SFRH7253,653252,038+1,615
SFRM7187,240189,803-2,563
SFRU7175,755178,569-2,814
SFRZ7161,358162,149-791