Free Trial

OI Points To Mix Of Short Setting & Long Cover In SOFR Futures Following PMI Data

STIR

The combination of yesterday’s move lower in most SOFR futures and preliminary OI data points to net short setting as the dominant positioning factor in the whites, while long cover seemed to dominate in the reds, greens and blues (in net pack OI terms).

  • S&P Global PMI data was much firmer than expected in headline terms, while the snippets on inflation provided the latest round of survey-based worry on that front.
  • FOMC-dated OIS moved to price ~35bp of ’24 cuts vs. ~39bp at Wednesday’s close in the wake of the data, with the full discounting of the first 25bp cut pushed back to December.
  • Year-end pricing has not tested April's hawkish extremes.
23-May-2422-May-24Daily OI ChangeDaily OI Change In Packs
SFRH4936,599937,472-873Whites+21,805
SFRM41,232,9951,225,810+7,185Reds-28,899
SFRU41,127,1081,123,754+3,354Greens-13,364
SFRZ41,248,5881,236,449+12,139Blues-5,516
SFRH5807,040804,073+2,967
SFRM5795,609795,860-251
SFRU5707,975706,693+1,282
SFRZ5784,884817,781-32,897
SFRH6561,677551,702+9,975
SFRM6522,304535,962-13,658
SFRU6435,279431,516+3,763
SFRZ6353,868367,312-13,444
SFRH7260,599253,607+6,992
SFRM7184,705189,681-4,976
SFRU7170,732173,935-3,203
SFRZ7156,849161,178-4,329
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.