May 15, 2024 10:06 GMT
OI Points To Mix Of Long Setting & Short Cover In SOFR Futures After PPI
STIR
The combination of yesterday’s uptick in most SOFR futures and preliminary OI data points to net short cover dominating in the whites and reds (it is hard to be sure with the whites given the unchanged price status of SFRH4 & M4, while net long setting was seen in SFRU4 & Z4).
- Further out, there seemed to be a very light bias towards long setting in the green and blue packs, with pockets of net short cover also seen.
- The two-way nature of the immediate price action that followed the PPI release and proximity to today’s CPI data likely limited the size of the net positioning swings.
- A reminder that the initial hawkish reaction to yesterday’s firmer-than-expected headline PPI readings was more than countered by the largely negative revisions in the same dataset and less worrying feedthrough into PCE.
- Market implied pricing for the Fed rate path stuck to recent ranges as a result.
- We will cover U.S. short end positioning in a little more detail ahead of today’s CPI release.
| 14-May-24 | 13-May-24 | Daily OI Change | Daily OI Change In Packs | ||
| SFRH4 | 938,599 | 956,985 | -18,386 | Whites | -11,331 |
| SFRM4 | 1,109,057 | 1,120,533 | -11,476 | Reds | -25,835 |
| SFRU4 | 1,103,596 | 1,093,827 | +9,769 | Greens | +1,037 |
| SFRZ4 | 1,213,479 | 1,204,717 | +8,762 | Blues | +2,547 |
| SFRH5 | 789,758 | 798,471 | -8,713 | ||
| SFRM5 | 782,132 | 788,745 | -6,613 | ||
| SFRU5 | 705,086 | 713,197 | -8,111 | ||
| SFRZ5 | 825,619 | 828,017 | -2,398 | ||
| SFRH6 | 513,961 | 513,421 | +540 | ||
| SFRM6 | 529,882 | 531,997 | -2,115 | ||
| SFRU6 | 420,079 | 419,179 | +900 | ||
| SFRZ6 | 362,565 | 360,853 | +1,712 | ||
| SFRH7 | 250,023 | 248,574 | +1,449 | ||
| SFRM7 | 184,852 | 182,929 | +1,923 | ||
| SFRU7 | 173,906 | 175,062 | -1,156 | ||
| SFRZ7 | 150,170 | 149,839 | +331 |
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