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

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The combination of yesterday’s uptick in most SOFR futures and preliminary OI data point to short cover dominating in the whites, while net long setting seemed to dominate in the reds through blues (all in net pack OI terms).

  • A reminder that the latest ADP employment print and softer prices paid component within the ISM services survey allowed the recent dovish move in FOMC-dated OIS to extend a little further (even as the headline ISM services print topped expectations).
  • That leaves ~80% odds of a 25bp cut showing through the Sep FOMC at typing, 30bp of easing priced through the Nov FOMC and a cumulative ~48bp of cuts showing through year end.
05-Jun-2404-Jun-24Daily OI ChangeDaily OI Change In Packs
SFRH4914,793912,966+1,827Whites-36,405
SFRM41,209,2851,222,770-13,485Reds+30,559
SFRU41,171,3631,170,744+619Greens+11,908
SFRZ41,153,6711,179,037-25,366Blues+8,305
SFRH5815,996813,701+2,295
SFRM5808,790800,264+8,526
SFRU5743,537732,105+11,432
SFRZ5802,053793,747+8,306
SFRH6567,423563,503+3,920
SFRM6505,347502,585+2,762
SFRU6403,147399,164+3,983
SFRZ6359,145357,902+1,243
SFRH7248,552249,504-952
SFRM7194,447194,295+152
SFRU7160,047160,924-877
SFRZ7165,485155,503+9,982
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The combination of yesterday’s uptick in most SOFR futures and preliminary OI data point to short cover dominating in the whites, while net long setting seemed to dominate in the reds through blues (all in net pack OI terms).

  • A reminder that the latest ADP employment print and softer prices paid component within the ISM services survey allowed the recent dovish move in FOMC-dated OIS to extend a little further (even as the headline ISM services print topped expectations).
  • That leaves ~80% odds of a 25bp cut showing through the Sep FOMC at typing, 30bp of easing priced through the Nov FOMC and a cumulative ~48bp of cuts showing through year end.
05-Jun-2404-Jun-24Daily OI ChangeDaily OI Change In Packs
SFRH4914,793912,966+1,827Whites-36,405
SFRM41,209,2851,222,770-13,485Reds+30,559
SFRU41,171,3631,170,744+619Greens+11,908
SFRZ41,153,6711,179,037-25,366Blues+8,305
SFRH5815,996813,701+2,295
SFRM5808,790800,264+8,526
SFRU5743,537732,105+11,432
SFRZ5802,053793,747+8,306
SFRH6567,423563,503+3,920
SFRM6505,347502,585+2,762
SFRU6403,147399,164+3,983
SFRZ6359,145357,902+1,243
SFRH7248,552249,504-952
SFRM7194,447194,295+152
SFRU7160,047160,924-877
SFRZ7165,485155,503+9,982