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OI Points To Mix Of Long Setting & Short Cover Across Much Of SOFR Futures Strip On Monday

STIR

The most meaningful Monday move in SOFR futures’ positioning came via net long setting in the very front end of the strip, with nearly 25K new net longs added across SFRM4 through SFRZ4.

  • Further out, net short cover was seen in SFRH6 through SFRU7.
  • This came as comments from San Franciso Fed President Daly (’24 voter) emphasised the potential for cuts on the back of any unexpected deterioration in the labour market, putting her somewhere on the neutral-to-dovish area of the 2024 dot plot.
  • This supported SOFR futures into the close, with some weakness in equities also factoring in.
  • FOMC-dated OIS saw a modest dovish move on the same factors, pricing ~46bp of ’24 cuts late on Monday vs. ~44bp late on Friday.
24-Jun-2421-Jun-24Daily OI ChangeDaily OI Change In Packs
SFRM41,239,7841,232,165+7,619Whites+21,020
SFRU41,153,4921,148,130+5,362Reds+730
SFRZ4991,529980,446+11,083Greens-15,446
SFRH5811,959815,003-3,044Blues-7,505
SFRM5701,658703,659-2,001
SFRU5624,493619,587+4,906
SFRZ5810,695804,507+6,188
SFRH6560,148568,511-8,363
SFRM6481,288486,140-4,852
SFRU6417,264422,056-4,792
SFRZ6358,411362,835-4,424
SFRH7245,923247,301-1,378
SFRM7217,072221,796-4,724
SFRU7179,981184,404-4,423
SFRZ7168,476167,419+1,057
SFRH8116,149115,564+585
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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