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

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The combination of preliminary OI data and yesterday’s weakness in SOFR futures reveals a couple of positioning swings that are worth highlighting:

  • SFRM4 saw meaningful net long cover of ~30K contracts.
  • SFRU4 through SFRZ5 seemed to see net short setting in all contracts.
  • Fallout from the first round of the French elections and the potential for a second Presidential term for Donald Trump drove weakness in the long and U.S STIRs, quickly overpowering any bids that came on the back of the ISM manufacturing survey.
  • There was little movement in near-term FOMC-dated OIS.
01-Jul-2428-Jun-24Daily OI ChangeDaily OI Change In Packs
SFRM41,195,6841,226,474-30,790Whites-11,989
SFRU41,147,5111,145,229+2,282Reds+19,405
SFRZ41,002,312998,934+3,378Greens-3,167
SFRH5820,929807,788+13,141Blues-3,487
SFRM5714,324707,546+6,778
SFRU5647,804632,010+15,794
SFRZ5812,460808,019+4,441
SFRH6553,813561,421-7,608
SFRM6471,439481,511-10,072
SFRU6419,612415,971+3,641
SFRZ6357,794354,092+3,702
SFRH7250,067250,505-438
SFRM7236,762237,612-850
SFRU7181,727183,873-2,146
SFRZ7169,185172,159-2,974
SFRH8113,836111,353+2,483
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The combination of preliminary OI data and yesterday’s weakness in SOFR futures reveals a couple of positioning swings that are worth highlighting:

  • SFRM4 saw meaningful net long cover of ~30K contracts.
  • SFRU4 through SFRZ5 seemed to see net short setting in all contracts.
  • Fallout from the first round of the French elections and the potential for a second Presidential term for Donald Trump drove weakness in the long and U.S STIRs, quickly overpowering any bids that came on the back of the ISM manufacturing survey.
  • There was little movement in near-term FOMC-dated OIS.
01-Jul-2428-Jun-24Daily OI ChangeDaily OI Change In Packs
SFRM41,195,6841,226,474-30,790Whites-11,989
SFRU41,147,5111,145,229+2,282Reds+19,405
SFRZ41,002,312998,934+3,378Greens-3,167
SFRH5820,929807,788+13,141Blues-3,487
SFRM5714,324707,546+6,778
SFRU5647,804632,010+15,794
SFRZ5812,460808,019+4,441
SFRH6553,813561,421-7,608
SFRM6471,439481,511-10,072
SFRU6419,612415,971+3,641
SFRZ6357,794354,092+3,702
SFRH7250,067250,505-438
SFRM7236,762237,612-850
SFRU7181,727183,873-2,146
SFRZ7169,185172,159-2,974
SFRH8113,836111,353+2,483