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OI Points To Net Long Setting In Most SOFR Futures Ahead Of CPI

STIR

The uptick in most SOFR futures and preliminary OI data points to net long setting in all packs through the blues on Wednesday.

  • Some pockets of net short cover were seen in individual contracts.
  • Fed funds futures were little changed on the day, showing just under 20bp of cuts through the September FOMC ~50bp of cuts through year end.
  • We still believe that a ‘hawkish’ CPI surprise presents the greatest risk to prevailing market positioning, raising the bar for dovish market interpretation of today’s data.
10-Jul-2409-Jul-24Daily OI ChangeDaily OI Change In Packs
SFRM41,203,8501,195,809+8,041Whites+35,546
SFRU41,108,4761,115,158-6,682Reds+7,558
SFRZ41,111,9521,083,103+28,849Greens+4,517
SFRH5836,385831,047+5,338Blues+6,558
SFRM5771,847771,215+632
SFRU5699,139679,877+19,262
SFRZ5837,003843,569-6,566
SFRH6554,369560,139-5,770
SFRM6486,437484,881+1,556
SFRU6435,104426,333+8,771
SFRZ6389,539391,996-2,457
SFRH7247,822251,175-3,353
SFRM7249,767248,858+909
SFRU7192,783188,906+3,877
SFRZ7182,161181,453+708
SFRH8118,157117,093+1,064
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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