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

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The combination of yesterday’s move lower in SOFR futures and preliminary OI data points to a mix of net short setting and long cover as Q1 PCE data triggered another hawkish round of Fed repricing.

  • Net short setting seemed to dominate in the reds and greens, while net long cover was seemingly the dominant positioning factor in the whites.
  • Net pack OI was closer to unchanged in the blues.
25-Apr-2424-Apr-24Daily OI ChangeDaily OI Change In Packs
SFRH4932,138940,793-8,655Whites-17,297
SFRM41,133,3531,117,032+16,321Reds+10,795
SFRU4999,277993,029+6,248Greens+15,341
SFRZ41,187,6361,218,847-31,211Blues-1,324
SFRH5732,918730,599+2,319
SFRM5816,398802,529+13,869
SFRU5713,804715,987-2,183
SFRZ5790,257793,467-3,210
SFRH6483,356479,420+3,936
SFRM6503,294498,084+5,210
SFRU6381,222376,921+4,301
SFRZ6353,467351,573+1,894
SFRH7230,369230,405-36
SFRM7184,271183,673+598
SFRU7168,180168,351-171
SFRZ7142,732144,447-1,715
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The combination of yesterday’s move lower in SOFR futures and preliminary OI data points to a mix of net short setting and long cover as Q1 PCE data triggered another hawkish round of Fed repricing.

  • Net short setting seemed to dominate in the reds and greens, while net long cover was seemingly the dominant positioning factor in the whites.
  • Net pack OI was closer to unchanged in the blues.
25-Apr-2424-Apr-24Daily OI ChangeDaily OI Change In Packs
SFRH4932,138940,793-8,655Whites-17,297
SFRM41,133,3531,117,032+16,321Reds+10,795
SFRU4999,277993,029+6,248Greens+15,341
SFRZ41,187,6361,218,847-31,211Blues-1,324
SFRH5732,918730,599+2,319
SFRM5816,398802,529+13,869
SFRU5713,804715,987-2,183
SFRZ5790,257793,467-3,210
SFRH6483,356479,420+3,936
SFRM6503,294498,084+5,210
SFRU6381,222376,921+4,301
SFRZ6353,467351,573+1,894
SFRH7230,369230,405-36
SFRM7184,271183,673+598
SFRU7168,180168,351-171
SFRZ7142,732144,447-1,715