May 21, 2024 10:37 GMT
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-24 | 17-May-24 | Daily OI Change | Daily OI Change In Packs | ||
| SFRH4 | 935,205 | 934,996 | +209 | Whites | -26,590 |
| SFRM4 | 1,219,464 | 1,212,135 | +7,329 | Reds | -1,624 |
| SFRU4 | 1,070,231 | 1,091,975 | -21,744 | Greens | +6,124 |
| SFRZ4 | 1,231,414 | 1,243,798 | -12,384 | Blues | -580 |
| SFRH5 | 791,971 | 793,308 | -1,337 | ||
| SFRM5 | 792,611 | 796,594 | -3,983 | ||
| SFRU5 | 712,153 | 711,139 | +1,014 | ||
| SFRZ5 | 819,704 | 817,022 | +2,682 | ||
| SFRH6 | 531,166 | 533,202 | -2,036 | ||
| SFRM6 | 522,190 | 518,899 | +3,291 | ||
| SFRU6 | 418,790 | 417,259 | +1,531 | ||
| SFRZ6 | 365,893 | 362,555 | +3,338 | ||
| SFRH7 | 252,038 | 250,745 | +1,293 | ||
| SFRM7 | 189,803 | 189,244 | +559 | ||
| SFRU7 | 178,569 | 180,190 | -1,621 | ||
| SFRZ7 | 162,149 | 162,960 | -811 |
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