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

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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
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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