June 19, 2024 10:27 GMT
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-24 | 17-Jun-24 | Daily OI Change | Daily OI Change In Packs | ||
| SFRH4 | 904,339 | 904,862 | -523 | Whites | +26,062 |
| SFRM4 | 1,240,596 | 1,200,808 | +39,788 | Reds | -13,014 |
| SFRU4 | 1,141,470 | 1,133,941 | +7,529 | Greens | +14,117 |
| SFRZ4 | 983,657 | 1,004,389 | -20,732 | Blues | +25,179 |
| SFRH5 | 815,188 | 816,088 | -900 | ||
| SFRM5 | 713,887 | 730,602 | -16,715 | ||
| SFRU5 | 625,820 | 621,338 | +4,482 | ||
| SFRZ5 | 807,455 | 807,336 | +119 | ||
| SFRH6 | 567,984 | 572,473 | -4,489 | ||
| SFRM6 | 483,973 | 472,041 | +11,932 | ||
| SFRU6 | 419,663 | 414,698 | +4,965 | ||
| SFRZ6 | 358,115 | 356,406 | +1,709 | ||
| SFRH7 | 250,252 | 250,228 | +24 | ||
| SFRM7 | 208,445 | 193,582 | +14,863 | ||
| SFRU7 | 185,213 | 175,345 | +9,868 | ||
| SFRZ7 | 164,084 | 163,660 | +424 |
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