June 21, 2024 10:59 GMT
OI Points To Mix Of Short Setting & Long Cover In SOFR Futures On Thursday
STIR
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-24 | 19-Jun-24 | Daily OI Change | Daily OI Change In Packs | ||
SFRM4 | 1,238,224 | 1,240,596 | -2,372 | Whites | +4,122 |
SFRU4 | 1,145,277 | 1,141,470 | +3,807 | Reds | -12,625 |
SFRZ4 | 982,912 | 983,657 | -745 | Greens | +7,494 |
SFRH5 | 818,620 | 815,188 | +3,432 | Blues | +7,202 |
SFRM5 | 709,564 | 713,887 | -4,323 | ||
SFRU5 | 622,067 | 625,820 | -3,753 | ||
SFRZ5 | 805,574 | 807,455 | -1,881 | ||
SFRH6 | 565,316 | 567,984 | -2,668 | ||
SFRM6 | 483,136 | 483,973 | -837 | ||
SFRU6 | 420,605 | 419,663 | +942 | ||
SFRZ6 | 364,351 | 358,115 | +6,236 | ||
SFRH7 | 251,405 | 250,252 | +1,153 | ||
SFRM7 | 214,487 | 208,445 | +6,042 | ||
SFRU7 | 183,978 | 185,213 | -1,235 | ||
SFRZ7 | 166,660 | 164,084 | +2,576 | ||
SFRH8 | 115,189 | 115,370 | -181 |
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