Free Trial

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

STIR

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
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.