Free Trial

OI Points To Mix Of Long Setting & Short Cover Following Monthly PCE

STIR

The combination of open interest data and Friday's modest uptick across most SOFR futures points to a mix of net long setting and short cover, with the former more prominent in the reds and greens and latter more prominent in the whites and blues.

  • The move came as markets reacted to March’s PCE data, with revisions to the data set pointing to January as the key driver for the upward surprise in the core Q1 PCE reading the day prior, presenting a less hawkish outcome for markets.
  • This allowed the market implied path of Fed policy rates to edge away from the shallowest cutting path of the current market cycle as the data was digested.
26-Apr-2425-Apr-24Daily OI ChangeDaily OI Change In Packs
SFRH4926,962932,136-5,174Whites-19,207
SFRM41,121,5611,136,315-14,754Reds+15,035
SFRU4997,028996,347+681Greens+14,178
SFRZ41,187,6741,187,634+40Blues-2,229
SFRH5735,594732,945+2,649
SFRM5821,794816,397+5,397
SFRU5710,885713,567-2,682
SFRZ5799,922790,251+9,671
SFRH6484,857483,356+1,501
SFRM6514,855503,294+11,561
SFRU6384,682381,222+3,460
SFRZ6351,090353,434-2,344
SFRH7228,693230,369-1,676
SFRM7184,399184,251+148
SFRU7167,486168,180-694
SFRZ7142,725142,732-7
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.