May 24, 2024 10:21 GMT
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-24 | 22-May-24 | Daily OI Change | Daily OI Change In Packs | ||
| SFRH4 | 936,599 | 937,472 | -873 | Whites | +21,805 |
| SFRM4 | 1,232,995 | 1,225,810 | +7,185 | Reds | -28,899 |
| SFRU4 | 1,127,108 | 1,123,754 | +3,354 | Greens | -13,364 |
| SFRZ4 | 1,248,588 | 1,236,449 | +12,139 | Blues | -5,516 |
| SFRH5 | 807,040 | 804,073 | +2,967 | ||
| SFRM5 | 795,609 | 795,860 | -251 | ||
| SFRU5 | 707,975 | 706,693 | +1,282 | ||
| SFRZ5 | 784,884 | 817,781 | -32,897 | ||
| SFRH6 | 561,677 | 551,702 | +9,975 | ||
| SFRM6 | 522,304 | 535,962 | -13,658 | ||
| SFRU6 | 435,279 | 431,516 | +3,763 | ||
| SFRZ6 | 353,868 | 367,312 | -13,444 | ||
| SFRH7 | 260,599 | 253,607 | +6,992 | ||
| SFRM7 | 184,705 | 189,681 | -4,976 | ||
| SFRU7 | 170,732 | 173,935 | -3,203 | ||
| SFRZ7 | 156,849 | 161,178 | -4,329 |
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