OI Points To Mix Of Long Setting & Short Cover in SOFR Futures On Thursday's Data

The combination of yesterday’s uptick in most SOFR futures and OI data points to the following net positioning swings on Thursday:

• Whites: An apparent mix of net long setting and short cover, with the latter slightly more pronounced in net pack OI terms.
• Reds: Long setting seemed to dominate, with modest rounds of net short cover seen in some contracts in the pack.
• Greens: Net short cover was seemingly seen in 3 of the 4 contracts, with OI in the remaining contract essentially unchanged.
• Blues: An apparent mix of short cover and long setting, with the latter more meaningful when it came to net pack OI.
• Thursday's U.S. data facilitated a modest dovish move in Fed pricing, particularly with the strip trading close to recent hawkish extremes.
• ~32.5bp of ’24 cuts are currently priced into FOMC-dated OIS, with this morning’s European CPI data having a modest hawkish impact.
• That leaves the measure little changed vs. prevailing levels seen ahead of yesterday’s U.S. data.
• The monthly PCE data provides the major event risk ahead of the weekend.