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OI Points To Short Cover In Most SOFR Futures On Friday
The combination of Friday's move higher in SOFR futures and preliminary OI data points to short cover as the dominant positioning factor across the SOFR futures strip.
- The blues seemed to see net long setting in pack terms, although that was driven by one contract, with short cover seemingly seen elsewhere.
- Softer-than-expected economic data (ISM m'fing and final UoM sentiment surveys) and Fedspeak factored into the move.
- Ahead of Friday positioning was seemingly skewed short after the recent removal of rate cut premium.
- Markets have been unable to push '24 pricing below 75bp of cuts on several occasions (75bp of cuts is in line with the median '24 dot in the Fed's Dec '23 SEP).
- ~88bp of cuts last showing in Dec '24 FOMC-dated OIS.
01-Mar-24 | 29-Feb-24 | Daily OI Change | Daily OI Change In Packs | ||
SFRZ3 | 1,225,739 | 1,228,305 | -2,566 | Whites | -43,172 |
SFRH4 | 1,081,973 | 1,112,140 | -30,167 | Reds | -44,123 |
SFRM4 | 1,084,669 | 1,106,071 | -21,402 | Greens | -21,601 |
SFRU4 | 868,998 | 858,035 | +10,963 | Blues | +3,652 |
SFRZ4 | 1,108,668 | 1,130,750 | -22,082 | ||
SFRH5 | 667,696 | 681,250 | -13,554 | ||
SFRM5 | 708,547 | 717,441 | -8,894 | ||
SFRU5 | 657,409 | 657,002 | +407 | ||
SFRZ5 | 701,272 | 725,618 | -24,346 | ||
SFRH6 | 491,508 | 487,449 | +4,059 | ||
SFRM6 | 486,763 | 485,231 | +1,532 | ||
SFRU6 | 337,732 | 340,578 | -2,846 | ||
SFRZ6 | 305,786 | 299,136 | +6,650 | ||
SFRH7 | 190,376 | 190,644 | -268 | ||
SFRM7 | 176,244 | 178,066 | -1,822 | ||
SFRU7 | 149,013 | 149,921 | -908 |
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Why MNI
MNI is the leading provider
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