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OI Points To Mix Of Short Setting & Long Cover On SOFR Futures Strip On Friday

STIR

The mix of the general weakness in SOFR futures on Friday and preliminary OI data points to the following positioning swings ahead of the weekend:

  • Whites: Long cover seemed to be the dominant positioning move in net pack terms, although apparent rounds of net short setting were seemingly seen as well.
  • Reds through Blues: Net short setting seemed to dominate all packs, although some modest rounds of apparent net long cover also showed up.
  • Firmer-than-expected PPI data accelerated the pre-NY sell off, although there was a pullback from.
  • The pricing of Fed cuts moderated post-PPI, although SOFR futures finished comfortably off of session extremes as the totality of the data was assessed and some technical boundaries in Tsys held.
  • Early ’24 extremes re: shallowest levels of cuts through Dec ’24 were breached (~78bp of cuts over that horizon showed at one point), but the market didn't want to price less than 3x 25bp cuts.
  • Comments from San Francisco Fed President Daly had little impact, as she generally echoed recent Fedspeak.
16-Feb-2415-Feb-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,128,9851,127,163+1,822Whites-32,205
SFRH41,150,0481,159,607-9,559Reds+87,979
SFRM41,068,3051,099,338-31,033Greens+14,363
SFRU4853,405846,840+6,565Blues+4,555
SFRZ41,137,3711,115,674+21,697
SFRH5696,733631,105+65,628
SFRM5684,857690,917-6,060
SFRU5643,609636,895+6,714
SFRZ5754,956756,575-1,619
SFRH6499,828485,285+14,543
SFRM6495,122490,035+5,087
SFRU6308,527312,175-3,648
SFRZ6307,802307,319+483
SFRH7169,287163,365+5,922
SFRM7162,194164,691-2,497
SFRU7154,474153,827+647
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
FOMC Calendar Market NewsHomepageBulletMarketsFixed Income Bullets
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
FOMC Calendar Market NewsHomepageBulletMarketsFixed Income Bullets

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