OI Points To Net Short Setting In SOFR Futures Following NFPs & Hawkish Fedspeak

Friday’s move lower in SOFR futures and preliminary OI data point to net short setting as the dominant positioning factor through the blues.

• Pockets of long cover were also seen.
• The labor market report was the major catalyst for the move, with comments from the hawkish wing of the Fed also factoring in post-data.
• Note that the sell off has extended further today, as the reassessment of the short- to medium-term Fed policy path continues and after the weekend failed to provide a meaningful escalation in geopolitical tension.
• ~62.5bp of Fed cuts are priced through year end, with odds of a 25bp cut through the end of the June FOMC essentially 50/50.