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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-2403-Jun-24Daily OI ChangeDaily OI Change In Packs
SFRH4912,966920,011-7,045Whites-7,370
SFRM41,221,8001,230,865-9,065Reds+6,621
SFRU41,173,8251,170,127+3,698Greens-10,376
SFRZ41,179,5041,174,462+5,042Blues-6,485
SFRH5813,701811,755+1,946
SFRM5800,264806,021-5,757
SFRU5732,105732,724-619
SFRZ5793,779782,728+11,051
SFRH6563,511561,257+2,254
SFRM6502,749505,684-2,935
SFRU6399,164408,286-9,122
SFRZ6357,951358,524-573
SFRH7249,504255,561-6,057
SFRM7194,299193,031+1,268
SFRU7160,924163,665-2,741
SFRZ7155,503154,458+1,045
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
FOMC Calendar Market NewsHomepageBulletMarketsFixed Income Bullets
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
FOMC Calendar Market NewsHomepageBulletMarketsFixed Income Bullets

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