OI Points to Mix Of Long Setting & short cover For SOFR On Tuesday

The combination of yesterday’s richening on the SOFR strip and preliminary open interest data point to the following positioning swings on Tuesday:

• Whites: Long setting apparent on a net pack basis, with only SFRH4 seeing apparent short cover.
• Reds: Short cover appeared to dominate, although that was largely a product of a sizable OI swing in SFRU4, with little net change through the rest of the pack as apparent rounds of short cover and long setting virtually offset.
• Greens & Blues: Small rounds of apparent net short cover were seen on a pack basis, although some apparent pockets of long setting were also noted.
• A reminder that a firmer-than-expected ISM services survey (save the employment sub-index) and softer-than-expected JOLTS job openings print factored into price action on the day, as did dovish communique from the ECB. The two latter inputs outweighed the former in net terms.
• Still, pricing re: cumulative Fed cuts through ’24 failed to revisit Friday’s dovish extreme.