June 25, 2024 10:38 GMT
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-24 | 21-Jun-24 | Daily OI Change | Daily OI Change In Packs | ||
SFRM4 | 1,239,784 | 1,232,165 | +7,619 | Whites | +21,020 |
SFRU4 | 1,153,492 | 1,148,130 | +5,362 | Reds | +730 |
SFRZ4 | 991,529 | 980,446 | +11,083 | Greens | -15,446 |
SFRH5 | 811,959 | 815,003 | -3,044 | Blues | -7,505 |
SFRM5 | 701,658 | 703,659 | -2,001 | ||
SFRU5 | 624,493 | 619,587 | +4,906 | ||
SFRZ5 | 810,695 | 804,507 | +6,188 | ||
SFRH6 | 560,148 | 568,511 | -8,363 | ||
SFRM6 | 481,288 | 486,140 | -4,852 | ||
SFRU6 | 417,264 | 422,056 | -4,792 | ||
SFRZ6 | 358,411 | 362,835 | -4,424 | ||
SFRH7 | 245,923 | 247,301 | -1,378 | ||
SFRM7 | 217,072 | 221,796 | -4,724 | ||
SFRU7 | 179,981 | 184,404 | -4,423 | ||
SFRZ7 | 168,476 | 167,419 | +1,057 | ||
SFRH8 | 116,149 | 115,564 | +585 |
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