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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-2406-Jun-24Daily OI ChangeDaily OI Change In Packs
SFRH4903,546905,972-2,426Whites+17,260
SFRM41,357,7371,349,739+7,998Reds-17,537
SFRU41,202,7971,168,343+34,454Greens+1,499
SFRZ41,105,0011,127,767-22,766Blues+2,496
SFRH5808,268806,901+1,367
SFRM5794,592804,549-9,957
SFRU5742,970743,273-303
SFRZ5809,361818,005-8,644
SFRH6560,388563,233-2,845
SFRM6504,456500,300+4,156
SFRU6414,526405,187+9,339
SFRZ6386,284395,435-9,151
SFRH7257,395249,478+7,917
SFRM7193,888194,740-852
SFRU7160,187159,452+735
SFRZ7163,435168,739-5,304
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
FOMC Calendar Market NewsHomepageBulletMarketsFixed Income Bullets
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
FOMC Calendar Market NewsHomepageBulletMarketsFixed Income Bullets

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