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OI Points To Mix Of Long Setting & Short Cover In SOFR Futures Following CPI

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Yesterday’s soft CPI outcome and preliminary OI data point to net long setting in all packs outside of the greens, where net short cover was more prominent.

  • The data triggered dovish Fed repricing, leaving a full 25bp cut discounted in Fed funds futures come the end of the September FOMC, while a little over 60bp of cuts are now priced through year end.
  • While the risks to existing market positioning definitely lay with a ‘hawkish’ CPI print, the reaction to the much-softer-than-expected data reveals plenty of space to add longs if fundamentals permit.
11-Jul-2410-Jul-24Daily OI ChangeDaily OI Change In Packs
SFRM41,199,4871,197,375+2,112Whites+44,922
SFRU41,107,3821,109,802-2,420Reds+48,896
SFRZ41,144,5011,111,928+32,573Greens-10,527
SFRH5849,053836,396+12,657Blues+6,262
SFRM5790,101771,849+18,252
SFRU5711,328699,142+12,186
SFRZ5854,124838,186+15,938
SFRH6556,892554,372+2,520
SFRM6492,725486,437+6,288
SFRU6438,678435,104+3,574
SFRZ6374,586389,539-14,953
SFRH7242,386247,822-5,436
SFRM7243,272249,737-6,465
SFRU7199,835192,783+7,052
SFRZ7186,057182,161+3,896
SFRH8119,936118,157+1,779
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Yesterday’s soft CPI outcome and preliminary OI data point to net long setting in all packs outside of the greens, where net short cover was more prominent.

  • The data triggered dovish Fed repricing, leaving a full 25bp cut discounted in Fed funds futures come the end of the September FOMC, while a little over 60bp of cuts are now priced through year end.
  • While the risks to existing market positioning definitely lay with a ‘hawkish’ CPI print, the reaction to the much-softer-than-expected data reveals plenty of space to add longs if fundamentals permit.
11-Jul-2410-Jul-24Daily OI ChangeDaily OI Change In Packs
SFRM41,199,4871,197,375+2,112Whites+44,922
SFRU41,107,3821,109,802-2,420Reds+48,896
SFRZ41,144,5011,111,928+32,573Greens-10,527
SFRH5849,053836,396+12,657Blues+6,262
SFRM5790,101771,849+18,252
SFRU5711,328699,142+12,186
SFRZ5854,124838,186+15,938
SFRH6556,892554,372+2,520
SFRM6492,725486,437+6,288
SFRU6438,678435,104+3,574
SFRZ6374,586389,539-14,953
SFRH7242,386247,822-5,436
SFRM7243,272249,737-6,465
SFRU7199,835192,783+7,052
SFRZ7186,057182,161+3,896
SFRH8119,936118,157+1,779