June 27, 2024 10:18 GMT
OI Points To Mix Of SOFR Short Setting & Long Cover On Wednesday, Aus CPI The Latest Driver
STIR
The combination of OI data and yesterday’s move lower in SOFR futures points to a mix of net short setting and long cover.
- Individual contract OI swings were limited, with the most prominent net positioning moves seemingly coming via net long cover in SFRM4 through Z4 and net short setting in SFRH5 through Z5.
- Firmer-than expected Australian CPI data provided much of the pressure.
- FOMC-dated OIS moved to priced ~41bp of cuts through ’24 vs. 44.5bp late on Wednesday.
26-Jun-24 | 25-Jun-24 | Daily OI Change | Daily OI Change In Packs | ||
SFRM4 | 1,222,899 | 1,226,551 | -3,652 | Whites | -3,525 |
SFRU4 | 1,146,990 | 1,149,041 | -2,051 | Reds | +11,594 |
SFRZ4 | 988,112 | 991,030 | -2,918 | Greens | +875 |
SFRH5 | 814,748 | 809,652 | +5,096 | Blues | +8,744 |
SFRM5 | 699,230 | 692,763 | +6,467 | ||
SFRU5 | 626,394 | 621,084 | +5,310 | ||
SFRZ5 | 813,704 | 810,760 | +2,944 | ||
SFRH6 | 560,626 | 563,753 | -3,127 | ||
SFRM6 | 479,142 | 479,720 | -578 | ||
SFRU6 | 420,158 | 420,447 | -289 | ||
SFRZ6 | 357,030 | 354,082 | +2,948 | ||
SFRH7 | 239,295 | 240,501 | -1,206 | ||
SFRM7 | 227,311 | 221,445 | +5,866 | ||
SFRU7 | 183,818 | 182,205 | +1,613 | ||
SFRZ7 | 172,721 | 171,129 | +1,592 | ||
SFRH8 | 113,956 | 114,283 | -327 |
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