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

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Yesterday’s move lower in most SOFR futures and preliminary OI data points to a mix of net short setting and long cover since Tuesday’s settlement, although there wasn’t much in the way of meaningful net positioning movement in individual contracts.

  • There was a light bias to net short setting in the whites, greens and blues, while the reds seemed to see net long cover across all contracts
  • An uptick in the prices paid component of the Philly Fed manufacturing survey, higher oil prices and some spillover from swap-flow driven weakness in the long end applied the pressure.
  • This came alongside a very small moderation in the pricing of ’24 Fed cuts, with FOMC-dated OIS showing ~46bp of cuts through year end late Thursday vs. 48bp late Tuesday.
20-Jun-2419-Jun-24Daily OI ChangeDaily OI Change In Packs
SFRM41,238,2241,240,596-2,372Whites+4,122
SFRU41,145,2771,141,470+3,807Reds-12,625
SFRZ4982,912983,657-745Greens+7,494
SFRH5818,620815,188+3,432Blues+7,202
SFRM5709,564713,887-4,323
SFRU5622,067625,820-3,753
SFRZ5805,574807,455-1,881
SFRH6565,316567,984-2,668
SFRM6483,136483,973-837
SFRU6420,605419,663+942
SFRZ6364,351358,115+6,236
SFRH7251,405250,252+1,153
SFRM7214,487208,445+6,042
SFRU7183,978185,213-1,235
SFRZ7166,660164,084+2,576
SFRH8115,189115,370-181
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Yesterday’s move lower in most SOFR futures and preliminary OI data points to a mix of net short setting and long cover since Tuesday’s settlement, although there wasn’t much in the way of meaningful net positioning movement in individual contracts.

  • There was a light bias to net short setting in the whites, greens and blues, while the reds seemed to see net long cover across all contracts
  • An uptick in the prices paid component of the Philly Fed manufacturing survey, higher oil prices and some spillover from swap-flow driven weakness in the long end applied the pressure.
  • This came alongside a very small moderation in the pricing of ’24 Fed cuts, with FOMC-dated OIS showing ~46bp of cuts through year end late Thursday vs. 48bp late Tuesday.
20-Jun-2419-Jun-24Daily OI ChangeDaily OI Change In Packs
SFRM41,238,2241,240,596-2,372Whites+4,122
SFRU41,145,2771,141,470+3,807Reds-12,625
SFRZ4982,912983,657-745Greens+7,494
SFRH5818,620815,188+3,432Blues+7,202
SFRM5709,564713,887-4,323
SFRU5622,067625,820-3,753
SFRZ5805,574807,455-1,881
SFRH6565,316567,984-2,668
SFRM6483,136483,973-837
SFRU6420,605419,663+942
SFRZ6364,351358,115+6,236
SFRH7251,405250,252+1,153
SFRM7214,487208,445+6,042
SFRU7183,978185,213-1,235
SFRZ7166,660164,084+2,576
SFRH8115,189115,370-181