May 17, 2024 10:47 GMT
OI Points To Mix Of Short Setting & Long Cover In SOFR Futures On Thursday
STIR
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 across the strip.
- The whites saw net short setting dominate, as the latest rounds of higher-for-longer Fedspeak and firmer-than-expected import price data filtered in.
- Short setting also seemed to dominate in the greens and blues, meanwhile, the reds saw net long cover dominate in net pack OI terms.
- Yesterday's inputs leave ~45bp of Fed cuts priced through year end, reversing the CPI-induced dovish move. That is still a little more dovish than the ~40bp that was priced late last week.
| 16-May-24 | 15-May-24 | Daily OI Change | Daily OI Change In Packs | ||
| SFRH4 | 935,329 | 938,235 | -2,906 | Whites | +55,970 |
| SFRM4 | 1,181,939 | 1,131,194 | +50,745 | Reds | -13,422 |
| SFRU4 | 1,093,956 | 1,101,712 | -7,756 | Greens | +3,135 |
| SFRZ4 | 1,263,803 | 1,247,916 | +15,887 | Blues | +5,888 |
| SFRH5 | 781,224 | 781,100 | +124 | ||
| SFRM5 | 797,108 | 805,603 | -8,495 | ||
| SFRU5 | 711,761 | 712,525 | -764 | ||
| SFRZ5 | 818,581 | 822,868 | -4,287 | ||
| SFRH6 | 530,338 | 528,512 | +1,826 | ||
| SFRM6 | 525,093 | 526,119 | -1,026 | ||
| SFRU6 | 420,599 | 418,161 | +2,438 | ||
| SFRZ6 | 359,692 | 359,795 | -103 | ||
| SFRH7 | 250,732 | 248,691 | +2,041 | ||
| SFRM7 | 186,666 | 186,779 | -113 | ||
| SFRU7 | 173,094 | 169,430 | +3,664 | ||
| SFRZ7 | 162,146 | 161,850 | +296 |
183 words