June 05, 2024 09:57 GMT
OI Points To Mix Of Long Setting & Short Cover Dominating In SOFR Following JOLTs
STIR
Yesterday’s twist flattening of the SOFR futures strip and preliminary OI data point to the following net positioning swings on Tuesday:
- Whites: A mix of long cover, long setting and short cover.
- Reds: A mix of long setting and short cover, with the former dominating in net pack OI terms.
- Greens: A mix of long setting and short cover, with the latter dominating in net pack OI terms.
- Blues: A mix of long setting and short cover, with the latter dominating in net pack OI terms.
- FOMC-dated OIS saw a dovish move on yesterday’s JOLTS data, leaving ~45bp of cuts priced through year end as the move away from the recent hawkish extremes extended a little.
- The first 25bp cut is discounted through the end of Nov FOMC, with ~75% odds of a cut through the Sep meeting currently discounted.
- Note that BBG’s U.S. economic surprise index has moved to fresh multi-year lows, with stagflation-lite discussions becoming more frequent.
- The impending run of U.S. ISM services, ADP and NFP data will be key for Fed pricing during the remainder of the week.
| 04-Jun-24 | 03-Jun-24 | Daily OI Change | Daily OI Change In Packs | ||
| SFRH4 | 912,966 | 920,011 | -7,045 | Whites | -7,370 |
| SFRM4 | 1,221,800 | 1,230,865 | -9,065 | Reds | +6,621 |
| SFRU4 | 1,173,825 | 1,170,127 | +3,698 | Greens | -10,376 |
| SFRZ4 | 1,179,504 | 1,174,462 | +5,042 | Blues | -6,485 |
| SFRH5 | 813,701 | 811,755 | +1,946 | ||
| SFRM5 | 800,264 | 806,021 | -5,757 | ||
| SFRU5 | 732,105 | 732,724 | -619 | ||
| SFRZ5 | 793,779 | 782,728 | +11,051 | ||
| SFRH6 | 563,511 | 561,257 | +2,254 | ||
| SFRM6 | 502,749 | 505,684 | -2,935 | ||
| SFRU6 | 399,164 | 408,286 | -9,122 | ||
| SFRZ6 | 357,951 | 358,524 | -573 | ||
| SFRH7 | 249,504 | 255,561 | -6,057 | ||
| SFRM7 | 194,299 | 193,031 | +1,268 | ||
| SFRU7 | 160,924 | 163,665 | -2,741 | ||
| SFRZ7 | 155,503 | 154,458 | +1,045 |
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