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OI Points To Mix Of Short Setting & Long Cover In SOFR Futures On Monday

STIR

Yesterday’s downtick in most SOFR futures and preliminary OI data points to a mix of net short setting and long cover across the strip.

  • The only meaningful move in net pack OI seemed to represent long cover in the whites.
  • A 13K block sale in SFRU4 dominated on the flow side, with OI pointing to net long cover in that contract on the day.
  • A reminder that macro headline flow was limited, leaving many to point to cross-market impact and a swelling $IG slate when it came to Monday’s moves in U.S. rates.
  • Pricing of cuts in FOMC-dated OIS has continued to moderate, with ~40bp of easing now showing through year end.
  • The dovish post-CPI move has been more than fully reversed, with Fedspeak pointing to higher for longer rates and stagflation-lite type discussions still evident amongst market particiapnts.
20-May-2417-May-24Daily OI ChangeDaily OI Change In Packs
SFRH4935,205934,996+209Whites-26,590
SFRM41,219,4641,212,135+7,329Reds-1,624
SFRU41,070,2311,091,975-21,744Greens+6,124
SFRZ41,231,4141,243,798-12,384Blues-580
SFRH5791,971793,308-1,337
SFRM5792,611796,594-3,983
SFRU5712,153711,139+1,014
SFRZ5819,704817,022+2,682
SFRH6531,166533,202-2,036
SFRM6522,190518,899+3,291
SFRU6418,790417,259+1,531
SFRZ6365,893362,555+3,338
SFRH7252,038250,745+1,293
SFRM7189,803189,244+559
SFRU7178,569180,190-1,621
SFRZ7162,149162,960-811
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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