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

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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
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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