June 12, 2024 10:32 GMT
OI Points To Mix Of Long Setting & Short Cover In SOFR Futures On Wednesday
STIR
The combination of yesterday’s rally in SOFR futures and preliminary OI data points to net short cover dominating in the whites and greens (in net pack OI terms), while long setting was the more prominent factor in the reds and blues.
- The long end rally was driven by political unrest in Europe and strong demand at the latest 10-Year Tsy auction, which provided spill over support for the short end.
- SOFR options flow saw a mix of dovish and hawkish Fed plays on the day.
- ~37bp of ’24 cuts are priced into FOMC-dated OIS, little changed vs. this time yesterday.
- ~22bp of cuts are priced through the November FOMC, also little changed vs. this time yesterday.
- CPI data and the latest FOMC decision headline the macro calendar today.
| 11-Jun-24 | 10-Jun-24 | Daily OI Change | Daily OI Change In Packs | ||
| SFRH4 | 905,911 | 903,652 | +2,259 | Whites | -30,619 |
| SFRM4 | 1,335,747 | 1,349,422 | -13,675 | Reds | +7,357 |
| SFRU4 | 1,202,154 | 1,209,723 | -7,569 | Greens | -13,146 |
| SFRZ4 | 1,095,207 | 1,106,841 | -11,634 | Blues | +3,915 |
| SFRH5 | 808,902 | 802,598 | +6,304 | ||
| SFRM5 | 767,663 | 781,957 | -14,294 | ||
| SFRU5 | 735,108 | 737,219 | -2,111 | ||
| SFRZ5 | 816,259 | 798,801 | +17,458 | ||
| SFRH6 | 564,325 | 559,814 | +4,511 | ||
| SFRM6 | 496,670 | 507,138 | -10,468 | ||
| SFRU6 | 427,151 | 421,970 | +5,181 | ||
| SFRZ6 | 364,773 | 377,143 | -12,370 | ||
| SFRH7 | 254,862 | 256,290 | -1,428 | ||
| SFRM7 | 201,942 | 195,567 | +6,375 | ||
| SFRU7 | 161,765 | 160,875 | +890 | ||
| SFRZ7 | 158,099 | 160,021 | -1,922 |
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