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OI Points To Mix Of Short Setting & Long Cover In SOFR Futures Post-Payrolls

STIR

The combination of Friday's move lower across most of the SOFR futures strip and preliminary OI data point to the following positioning swings in the wake of the NFP release:

  • Whites: Apparent long cover in SFRH4 through SFRU4. It is hard to be sure when it comes to SFRZ3 given its unchanged price status on the day.
  • Reds: Apparent short setting in all contracts.
  • Greens: Apparent short setting across all contracts outside of seeming net long cover in SFRH6. The former dominated in net pack OI terms.
  • Blues: A mix of short setting (SFRH7 & M7) and long cover (SFRZ6 & U7), with the former providing the dominant impulse in terms of net pack OI.
  • The reds came under the most pressure in price terms, with each contract shedding over 20bp come settlement.
  • FOMC-dated OIS removed ~18bp of '24 rate cut pricing come the close (vs. pre-NFP levels). That move has extended further today in the wake of Fed Chair Powell's weekend remarks.
02-Feb-2401-Feb-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,206,0831,181,739+24,344Whites-36,728
SFRH41,153,8651,159,383-5,518Reds+33,740
SFRM41,049,6111,067,537-17,926Greens+16,537
SFRU4904,430942,058-37,628Blues+1,276
SFRZ41,057,9331,053,927+4,006
SFRH5593,354573,321+20,033
SFRM5661,577652,708+8,869
SFRU5600,544599,712+832
SFRZ5662,062655,480+6,582
SFRH6414,489420,463-5,974
SFRM6438,799429,121+9,678
SFRU6305,586299,335+6,251
SFRZ6270,775276,137-5,362
SFRH7144,193136,562+7,631
SFRM7155,407155,348+59
SFRU7144,242145,294-1,052
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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