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Free AccessOI Points To Net Short Setting & Long Cover In SOFR Futures As '24 Cut Pricing Moved Sub-75bp
Friday's move lower in most SOFR futures and preliminary OI data points to net short setting as the dominant positioning theme in the whites, reds and blues, while net long cover seemed to dominate in the greens.
- SFRM4 saw the largest net positioning swing, with over 100K lots of fresh net shorts seemingly set.
- Fed rate cut premium continued to ease on Friday, with less than 75bp of cuts being priced through '24 (Fed Dec '23 SEP pointed to 75bp of cuts, set to be updated alongside Wednesday's monetary policy decision, see our preview for more on that matter).
- Hawkish ideas dominated over the weekend via the higher for longer argument in the FT's latest survey, while talk of Trump appointing a hawkish Fed Chair if he wins the election was also noted.
15-Mar-24 | 14-Mar-24 | Daily OI Change | Daily OI Change In Packs | ||
SFRZ3 | 1,223,953 | 1,224,094 | -141 | Whites | +87,848 |
SFRH4 | 1,228,871 | 1,126,554 | +102,317 | Reds | +70,405 |
SFRM4 | 1,123,079 | 1,128,454 | -5,375 | Greens | -24,666 |
SFRU4 | 901,495 | 910,448 | -8,953 | Blues | +20,702 |
SFRZ4 | 1,118,007 | 1,087,494 | +30,513 | ||
SFRH5 | 739,965 | 712,797 | +27,168 | ||
SFRM5 | 762,343 | 754,987 | +7,356 | ||
SFRU5 | 654,502 | 649,134 | +5,368 | ||
SFRZ5 | 659,085 | 663,934 | -4,849 | ||
SFRH6 | 468,398 | 486,677 | -18,279 | ||
SFRM6 | 488,064 | 487,577 | +487 | ||
SFRU6 | 361,108 | 363,133 | -2,025 | ||
SFRZ6 | 339,675 | 334,588 | +5,087 | ||
SFRH7 | 203,537 | 191,372 | +12,165 | ||
SFRM7 | 185,817 | 183,511 | +2,306 | ||
SFRU7 | 151,891 | 150,747 | +1,144 |
To read the full story
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.