May 30, 2024 10:12 GMT
OI Points To Mix Of Positioning Swings In SOFR Futures On Wednesday
STIR
The mix of yesterday’s twist steepening on the SOFR futures strip and preliminary OI data follows to the following net positioning swings on Wednesday:
- Whites: Net long setting in SFRH4 through SFRU4. It is hard to be sure when it comes to SFRZ4 given its unchanged price status on the day.
- Reds: A mix of net long cover and net short setting, with the latter being the prominent in net pack OI terms.
- Greens: A mix of net short setting and net long cover, with the former being slightly more prominent in net pack OI terms.
- Blues: A mix of net short setting and net long cover, with the former being slightly more prominent in net pack OI terms.
- Cross-market impulses provided much of the pressure for SOFR futures.
- ~32.5bp of ’24 cuts are priced into FOMC-dated OIS.
| 29-May-24 | 28-May-24 | Daily OI Change | Daily OI Change In Packs | ||
| SFRH4 | 920,192 | 919,846 | +346 | Whites | +12,746 |
| SFRM4 | 1,252,012 | 1,239,034 | +12,978 | Reds | +17,936 |
| SFRU4 | 1,144,404 | 1,139,928 | +4,476 | Greens | +2,287 |
| SFRZ4 | 1,227,621 | 1,232,675 | -5,054 | Blues | +5,494 |
| SFRH5 | 811,458 | 812,799 | -1,341 | ||
| SFRM5 | 804,316 | 809,066 | -4,750 | ||
| SFRU5 | 712,253 | 701,469 | +10,784 | ||
| SFRZ5 | 785,172 | 771,929 | +13,243 | ||
| SFRH6 | 570,450 | 560,644 | +9,806 | ||
| SFRM6 | 518,127 | 514,733 | +3,394 | ||
| SFRU6 | 416,400 | 435,202 | -18,802 | ||
| SFRZ6 | 364,284 | 356,395 | +7,889 | ||
| SFRH7 | 263,276 | 261,363 | +1,913 | ||
| SFRM7 | 185,341 | 183,141 | +2,200 | ||
| SFRU7 | 163,911 | 167,102 | -3,191 | ||
| SFRZ7 | 159,692 | 155,120 | +4,572 |
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