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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-2410-Jun-24Daily OI ChangeDaily OI Change In Packs
SFRH4905,911903,652+2,259Whites-30,619
SFRM41,335,7471,349,422-13,675Reds+7,357
SFRU41,202,1541,209,723-7,569Greens-13,146
SFRZ41,095,2071,106,841-11,634Blues+3,915
SFRH5808,902802,598+6,304
SFRM5767,663781,957-14,294
SFRU5735,108737,219-2,111
SFRZ5816,259798,801+17,458
SFRH6564,325559,814+4,511
SFRM6496,670507,138-10,468
SFRU6427,151421,970+5,181
SFRZ6364,773377,143-12,370
SFRH7254,862256,290-1,428
SFRM7201,942195,567+6,375
SFRU7161,765160,875+890
SFRZ7158,099160,021-1,922
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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