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OI Points To Mix Of Long Setting & Short Cover In  SOFR Futures On Tuesday

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The combination of yesterday’s rally in SOFR futures and preliminary OI data points to net long setting dominating through the greens, while net short cover was seemingly seen in all of the blue contracts.

  • The softer-than-expected U.S. flash PMI data drove most of yesterday's rally in SOFR futures.
  • The bulk of yesterday’s contained dovish move in Fed pricing has largely retraced, with several global factors weighing on core global FI markets in pre-NY dealing.
23-Apr-2422-Apr-24Daily OI ChangeDaily OI Change In Packs
SFRH4936,147932,541+3,606Whites+12,429
SFRM41,115,0191,113,544+1,475Reds+22,297
SFRU4988,841977,684+11,157Greens+7,287
SFRZ41,215,2621,219,071-3,809Blues-5,328
SFRH5734,059728,130+5,929
SFRM5801,112800,106+1,006
SFRU5711,352696,698+14,654
SFRZ5796,667795,959+708
SFRH6478,487482,245-3,758
SFRM6497,900494,085+3,815
SFRU6376,785373,851+2,934
SFRZ6350,716346,420+4,296
SFRH7234,398235,992-1,594
SFRM7186,234186,758-524
SFRU7168,147170,167-2,020
SFRZ7149,488150,678-1,190
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The combination of yesterday’s rally in SOFR futures and preliminary OI data points to net long setting dominating through the greens, while net short cover was seemingly seen in all of the blue contracts.

  • The softer-than-expected U.S. flash PMI data drove most of yesterday's rally in SOFR futures.
  • The bulk of yesterday’s contained dovish move in Fed pricing has largely retraced, with several global factors weighing on core global FI markets in pre-NY dealing.
23-Apr-2422-Apr-24Daily OI ChangeDaily OI Change In Packs
SFRH4936,147932,541+3,606Whites+12,429
SFRM41,115,0191,113,544+1,475Reds+22,297
SFRU4988,841977,684+11,157Greens+7,287
SFRZ41,215,2621,219,071-3,809Blues-5,328
SFRH5734,059728,130+5,929
SFRM5801,112800,106+1,006
SFRU5711,352696,698+14,654
SFRZ5796,667795,959+708
SFRH6478,487482,245-3,758
SFRM6497,900494,085+3,815
SFRU6376,785373,851+2,934
SFRZ6350,716346,420+4,296
SFRH7234,398235,992-1,594
SFRM7186,234186,758-524
SFRU7168,147170,167-2,020
SFRZ7149,488150,678-1,190