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OI Points To Net Long Setting Dominating On The SOFR Strip Following Wednesday's Data

STIR

The combination of yesterday’s move higher in SOFR futures and preliminary OI points to a mix of net long setting and short cover following the CPI and retail sales data, with net long setting dominating in all packs through the blues.

  • We flagged a net short/paid positioning setup in U.S. STIRs ahead of the data.
  • Markets moved to price ~50bp of cuts through ’24 vs. ~45bp ahead of the releases.
15-May-2414-May-24Daily OI ChangeDaily OI Change In Packs
SFRH4938,235938,599-364Whites+55,367
SFRM41,127,1851,109,652+17,533Reds+25,274
SFRU41,104,6071,100,646+3,961Greens+6,308
SFRZ41,247,9161,213,679+34,237Blues+7,799
SFRH5781,150788,149-6,999
SFRM5805,793780,626+25,167
SFRU5713,014704,913+8,101
SFRZ5822,873823,868-995
SFRH6528,512513,961+14,551
SFRM6526,260529,882-3,622
SFRU6418,162420,079-1,917
SFRZ6359,828362,532-2,704
SFRH7248,691250,023-1,332
SFRM7186,779184,852+1,927
SFRU7169,430173,906-4,476
SFRZ7161,850150,170+11,680
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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