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OI Points To Mix Of Short Setting & Long Cover In Most Contracts

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The combination of Friday’s move lower in SOFR futures and preliminary OI data points to a mix of net short setting (in the red and blue packs) & long cover (in the white and green packs).

  • Asia-Pac block activity in the SFRZ4 contract boosted volumes, with OI suggesting that those trades represented short cover.
  • This came as markets continued to unwind Fed rate cut premium in a headline light session.
  • Comments from ECB's Schnabel provided some pressure during pre-NY trade.
  • Markets price in ~45bp of Fed rate cuts through year end as NY traders start to filter in on Monday.
17-May-2416-May-24Daily OI ChangeDaily OI Change In Packs
SFRH4934,996935,329-333Whites-12,005
SFRM41,203,1211,197,324+5,797Reds+9,431
SFRU41,094,5651,092,015+2,550Greens-3,741
SFRZ41,243,7981,263,817-20,019Blues+10,467
SFRH5793,308781,224+12,084
SFRM5796,622797,108-486
SFRU5711,139711,761-622
SFRZ5817,024818,569-1,545
SFRH6533,202530,338+2,864
SFRM6518,899525,093-6,194
SFRU6417,259420,599-3,340
SFRZ6362,588359,659+2,929
SFRH7250,745250,732+13
SFRM7189,244186,666+2,578
SFRU7180,190173,094+7,096
SFRZ7162,960162,180+780
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The combination of Friday’s move lower in SOFR futures and preliminary OI data points to a mix of net short setting (in the red and blue packs) & long cover (in the white and green packs).

  • Asia-Pac block activity in the SFRZ4 contract boosted volumes, with OI suggesting that those trades represented short cover.
  • This came as markets continued to unwind Fed rate cut premium in a headline light session.
  • Comments from ECB's Schnabel provided some pressure during pre-NY trade.
  • Markets price in ~45bp of Fed rate cuts through year end as NY traders start to filter in on Monday.
17-May-2416-May-24Daily OI ChangeDaily OI Change In Packs
SFRH4934,996935,329-333Whites-12,005
SFRM41,203,1211,197,324+5,797Reds+9,431
SFRU41,094,5651,092,015+2,550Greens-3,741
SFRZ41,243,7981,263,817-20,019Blues+10,467
SFRH5793,308781,224+12,084
SFRM5796,622797,108-486
SFRU5711,139711,761-622
SFRZ5817,024818,569-1,545
SFRH6533,202530,338+2,864
SFRM6518,899525,093-6,194
SFRU6417,259420,599-3,340
SFRZ6362,588359,659+2,929
SFRH7250,745250,732+13
SFRM7189,244186,666+2,578
SFRU7180,190173,094+7,096
SFRZ7162,960162,180+780