May 27, 2024 11:14 GMT
OI Points To Mix Of Positioning Swings In SOFR Futures Ahead Of Long Weekend
STIR
The combination of Friday’s downtick in most SOFR futures and preliminary OI data suggests that net long cover dominated in both the reds and greens ahead of the weekend, while short setting provided the largest net OI impact in the whites (albeit relatively marginal).
- It is hard to be sure what took place in the blues, given the unchanged price status in most contracts on the day (net long setting appeared to be seen in SFRZ7).
- Final revisions to UoM sentiment data provided slightly less inflationary worry, allowing SOFR futures to edge away from session lows.
- The market-implied Fed policy rate path had risen earlier in the day, with strategists and economists continuing to push back their calls for the timing of the first Fed rate cut.
- The UoM data left ~34bp of Fed rate cuts priced through year end.
| 24-May-24 | 23-May-24 | Daily OI Change | Daily OI Change In Packs | ||
| SFRH4 | 936,509 | 936,599 | -90 | Whites | +4,803 |
| SFRM4 | 1,233,544 | 1,244,438 | -10,894 | Reds | -16,371 |
| SFRU4 | 1,142,278 | 1,125,619 | +16,659 | Greens | -16,839 |
| SFRZ4 | 1,250,130 | 1,251,002 | -872 | Blues | +2,001 |
| SFRH5 | 807,451 | 807,673 | -222 | ||
| SFRM5 | 788,944 | 798,760 | -9,816 | ||
| SFRU5 | 711,291 | 707,806 | +3,485 | ||
| SFRZ5 | 775,054 | 784,872 | -9,818 | ||
| SFRH6 | 556,515 | 561,701 | -5,186 | ||
| SFRM6 | 511,458 | 522,327 | -10,869 | ||
| SFRU6 | 435,191 | 435,287 | -96 | ||
| SFRZ6 | 353,156 | 353,844 | -688 | ||
| SFRH7 | 263,844 | 260,607 | +3,237 | ||
| SFRM7 | 182,314 | 184,713 | -2,399 | ||
| SFRU7 | 168,447 | 170,756 | -2,309 | ||
| SFRZ7 | 160,335 | 156,863 | +3,472 |
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