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OI Points To Post-Fed Short Cover In SOFR White & Red Futures

STIR

The combination of yesterday’s rally in SOFR futures and preliminary OI data points to short cover as the dominant positioning factor in the whites and reds.

  • The whites seemed to see net short cover in all contracts, while only apparent net long setting in SFRZ5 broke the trend in the reds.
  • Net pack OI was little changed in the greens and blues, with rounds of net short cover and long setting seen there.
  • Fed Chair Powell failed to provide a meaningful shock to markets when it came to the rate outlook, pushing back against any suggestions that the Fed is considering a hike at present, while sounding a little more guarded when it came to progress in returning inflation to target.
  • The net impact saw FOMC-dated OIS pull away from ’24 extremes, leaving a little over 35bp of ’24 cuts priced at typing.
01-May-2430-Apr-24Daily OI ChangeDaily OI Change In Packs
SFRH4922,811923,159-348Whites-62,235
SFRM41,121,7331,127,072-5,339Reds-6,527
SFRU4992,3951,021,739-29,344Greens+2,871
SFRZ41,218,6081,245,812-27,204Blues-1,120
SFRH5748,659754,222-5,563
SFRM5848,404850,138-1,734
SFRU5711,430719,336-7,906
SFRZ5816,091807,415+8,676
SFRH6482,592485,121-2,529
SFRM6518,501515,213+3,288
SFRU6390,786393,213-2,427
SFRZ6352,978348,439+4,539
SFRH7237,350236,857+493
SFRM7183,579183,886-307
SFRU7163,389165,453-2,064
SFRZ7141,943141,185+758
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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