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OI Points To Mix Of Short Cover & Long Setting In SOFR Futures Following Friday's Data

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The combination of Friday’s rally in most SOFR futures and preliminary OI data points to a mix of long setting and short cover across the strip.

  • Still, only the whites saw a meaningful net positioning swing in net pack OI terms, as short cover seemed to dominate in the wake of the PCE and MNI Chicago PMI data.
  • The data left ~36bp of ’24 cuts priced into FOMC-dated OIS as of Friday’s close vs. ~34bp the week prior.
  • The Tsy space seemed to see further demand on the back of month-end related flows, helping underpin SOFR futures into the close.
31-May-2430-May-24Daily OI ChangeDaily OI Change In Packs
SFRH4922,859922,158+701Whites-32,231
SFRM41,234,4701,248,955-14,485Reds+5,080
SFRU41,180,8791,177,138+3,741Greens-8,426
SFRZ41,178,4851,200,673-22,188Blues-4,812
SFRH5818,429825,790-7,361
SFRM5816,867805,163+11,704
SFRU5732,254730,294+1,960
SFRZ5783,825785,048-1,223
SFRH6565,186570,452-5,266
SFRM6513,197513,920-723
SFRU6410,087416,157-6,070
SFRZ6360,664357,031+3,633
SFRH7259,850261,204-1,354
SFRM7190,016190,043-27
SFRU7163,545164,067-522
SFRZ7156,896159,805-2,909
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The combination of Friday’s rally in most SOFR futures and preliminary OI data points to a mix of long setting and short cover across the strip.

  • Still, only the whites saw a meaningful net positioning swing in net pack OI terms, as short cover seemed to dominate in the wake of the PCE and MNI Chicago PMI data.
  • The data left ~36bp of ’24 cuts priced into FOMC-dated OIS as of Friday’s close vs. ~34bp the week prior.
  • The Tsy space seemed to see further demand on the back of month-end related flows, helping underpin SOFR futures into the close.
31-May-2430-May-24Daily OI ChangeDaily OI Change In Packs
SFRH4922,859922,158+701Whites-32,231
SFRM41,234,4701,248,955-14,485Reds+5,080
SFRU41,180,8791,177,138+3,741Greens-8,426
SFRZ41,178,4851,200,673-22,188Blues-4,812
SFRH5818,429825,790-7,361
SFRM5816,867805,163+11,704
SFRU5732,254730,294+1,960
SFRZ5783,825785,048-1,223
SFRH6565,186570,452-5,266
SFRM6513,197513,920-723
SFRU6410,087416,157-6,070
SFRZ6360,664357,031+3,633
SFRH7259,850261,204-1,354
SFRM7190,016190,043-27
SFRU7163,545164,067-522
SFRZ7156,896159,805-2,909