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OI Points to Mix Of Short Setting & Long Cover In SOFR Futures On Wednesday

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Yesterday’s downtick in SOFR futures and preliminary OI data points to a mix of net short sales and long cover through the blues as the market-implied pricing of Fed policy rates stuck within the recent ranges.

  • Spill over from moves in the longer end of global curves seemed to be the driver from the start of London trade, after Asia-Pac inflation data applied pressure.
  • Net pack OI movements were relatively insignificant.
  • Individual contracts also failed to provide meaningful net OI swings.
24-Apr-2423-Apr-24Daily OI ChangeDaily OI Change In Packs
SFRH4940,793936,147+4,646Whites+13,722
SFRM41,115,3481,116,880-1,532Reds-369
SFRU4996,000985,760+10,240Greens+2,224
SFRZ41,215,6501,215,282+368Blues-11,296
SFRH5730,599734,059-3,460
SFRM5802,529801,112+1,417
SFRU5715,987711,117+4,870
SFRZ5793,469796,665-3,196
SFRH6479,420478,487+933
SFRM6498,084497,800+284
SFRU6376,921376,754+167
SFRZ6351,523350,683+840
SFRH7230,405234,398-3,993
SFRM7183,721186,184-2,463
SFRU7168,348168,147+201
SFRZ7144,447149,488-5,041
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Yesterday’s downtick in SOFR futures and preliminary OI data points to a mix of net short sales and long cover through the blues as the market-implied pricing of Fed policy rates stuck within the recent ranges.

  • Spill over from moves in the longer end of global curves seemed to be the driver from the start of London trade, after Asia-Pac inflation data applied pressure.
  • Net pack OI movements were relatively insignificant.
  • Individual contracts also failed to provide meaningful net OI swings.
24-Apr-2423-Apr-24Daily OI ChangeDaily OI Change In Packs
SFRH4940,793936,147+4,646Whites+13,722
SFRM41,115,3481,116,880-1,532Reds-369
SFRU4996,000985,760+10,240Greens+2,224
SFRZ41,215,6501,215,282+368Blues-11,296
SFRH5730,599734,059-3,460
SFRM5802,529801,112+1,417
SFRU5715,987711,117+4,870
SFRZ5793,469796,665-3,196
SFRH6479,420478,487+933
SFRM6498,084497,800+284
SFRU6376,921376,754+167
SFRZ6351,523350,683+840
SFRH7230,405234,398-3,993
SFRM7183,721186,184-2,463
SFRU7168,348168,147+201
SFRZ7144,447149,488-5,041