June 10, 2024 10:51 GMT
OI Points To Mix Of Net Short Setting & Long Cover In SOFR Futures Following NFPs
STIR
The combination of Friday's post-payrolls hawkish repricing and preliminary open interest data points to a mix of net short setting and long cover across the SOFR strip ahead of the weekend.
- The whites seemingly saw short setting in net pack OI terms, with more modest rounds of net short setting seen in both the greens and blues (pockets of net long cover were also witnessed in all 3 packs).
- Meanwhile, the reds seemed to see net long cover in most contracts, biasing the net pack OI swing in that direction.
- Interestingly, there was no sign of cover from the sizeable long that was built in SFRM4 on Thursday (when over 200K of the contract was lifted in short order during the NY afternoon).
- FOMC-dated OIS moved to priced ~36bp of cuts through year end in the wake of the jobs report vs. ~49bp at the close on Thursday.
- The first 25bp move is no longer fully discounted come the end of the Nov FOMC.
- Wednesday's FOMC decision & CPI readings present the next major risk events.
| 07-Jun-24 | 06-Jun-24 | Daily OI Change | Daily OI Change In Packs | ||
| SFRH4 | 903,546 | 905,972 | -2,426 | Whites | +17,260 |
| SFRM4 | 1,357,737 | 1,349,739 | +7,998 | Reds | -17,537 |
| SFRU4 | 1,202,797 | 1,168,343 | +34,454 | Greens | +1,499 |
| SFRZ4 | 1,105,001 | 1,127,767 | -22,766 | Blues | +2,496 |
| SFRH5 | 808,268 | 806,901 | +1,367 | ||
| SFRM5 | 794,592 | 804,549 | -9,957 | ||
| SFRU5 | 742,970 | 743,273 | -303 | ||
| SFRZ5 | 809,361 | 818,005 | -8,644 | ||
| SFRH6 | 560,388 | 563,233 | -2,845 | ||
| SFRM6 | 504,456 | 500,300 | +4,156 | ||
| SFRU6 | 414,526 | 405,187 | +9,339 | ||
| SFRZ6 | 386,284 | 395,435 | -9,151 | ||
| SFRH7 | 257,395 | 249,478 | +7,917 | ||
| SFRM7 | 193,888 | 194,740 | -852 | ||
| SFRU7 | 160,187 | 159,452 | +735 | ||
| SFRZ7 | 163,435 | 168,739 | -5,304 |
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