Free Trial

OI Points To Mix Of Long Setting & Short Cover In SOFR Futures On Soft Retail Sales

STIR

The combination of yesterday’s rally in most SOFR futures and preliminary OI data points to the following net positioning swings on Tuesday:

  • Whites: Little net movement in SFRH4 positioning, net short setting in SFRM4, net long setting in SFRU4 and net short cover in SFRZ4.
  • Reds: A mix of net short cover and long setting, with the former dominating in net pack OI terms.
  • Greens: A mix of net short cover and long setting, with the latter dominating in net pack OI terms.
  • Blues: Net long setting seemed to be seen in all contracts.
  • Softer-than-expected retail sales data, coupled with negative revisions, provided the major input on Tuesday.
  • That reintroduced some rate cut premium into markets, with FOMC-dated OIS showing ~44bp of ’24 cuts in late NY trade vs. ~41bp late on Monday.
18-Jun-2417-Jun-24Daily OI ChangeDaily OI Change In Packs
SFRH4904,339904,862-523Whites+26,062
SFRM41,240,5961,200,808+39,788Reds-13,014
SFRU41,141,4701,133,941+7,529Greens+14,117
SFRZ4983,6571,004,389-20,732Blues+25,179
SFRH5815,188816,088-900
SFRM5713,887730,602-16,715
SFRU5625,820621,338+4,482
SFRZ5807,455807,336+119
SFRH6567,984572,473-4,489
SFRM6483,973472,041+11,932
SFRU6419,663414,698+4,965
SFRZ6358,115356,406+1,709
SFRH7250,252250,228+24
SFRM7208,445193,582+14,863
SFRU7185,213175,345+9,868
SFRZ7164,084163,660+424
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.