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OI Points To Short Setting Bias In SOFR Futures Post-Powell

STIR

Yesterday’s downtick in SOFR futures and preliminary OI points to net short setting dominating in most contracts.

  • Fed Chair Powell failed to provide a meaningfully dovish deviation vs. recent remarks, disappointing some who were looking for a bolder dovish tone in the wake of the recent run of soft labour market and economic activity data.
  • Still, that data and the incremental shifts seen in Powell’s recent addresses leave the door open for a September rate cut.
  • As a result, Fed fund futures discount 80% odds of a cut through the Sep FOMC and 50bp of easing through year end, essentially little changed vs. levels seen ahead of Powell’s address.
09-Jul-2408-Jul-24Daily OI ChangeDaily OI Change In Packs
SFRM41,200,9701,194,405+6,565Whites+28,971
SFRU41,114,3701,104,916+9,454Reds+19,613
SFRZ41,083,3761,075,274+8,102Greens+8,701
SFRH5831,036826,186+4,850Blues+14,012
SFRM5771,123769,538+1,585
SFRU5679,874669,001+10,873
SFRZ5843,565833,263+10,302
SFRH6560,136563,283-3,147
SFRM6484,881487,645-2,764
SFRU6426,333421,623+4,710
SFRZ6392,012386,261+5,751
SFRH7251,175250,171+1,004
SFRM7248,858243,249+5,609
SFRU7188,906186,169+2,737
SFRZ7181,453177,025+4,428
SFRH8117,093115,855+1,238
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Yesterday’s downtick in SOFR futures and preliminary OI points to net short setting dominating in most contracts.

  • Fed Chair Powell failed to provide a meaningfully dovish deviation vs. recent remarks, disappointing some who were looking for a bolder dovish tone in the wake of the recent run of soft labour market and economic activity data.
  • Still, that data and the incremental shifts seen in Powell’s recent addresses leave the door open for a September rate cut.
  • As a result, Fed fund futures discount 80% odds of a cut through the Sep FOMC and 50bp of easing through year end, essentially little changed vs. levels seen ahead of Powell’s address.
09-Jul-2408-Jul-24Daily OI ChangeDaily OI Change In Packs
SFRM41,200,9701,194,405+6,565Whites+28,971
SFRU41,114,3701,104,916+9,454Reds+19,613
SFRZ41,083,3761,075,274+8,102Greens+8,701
SFRH5831,036826,186+4,850Blues+14,012
SFRM5771,123769,538+1,585
SFRU5679,874669,001+10,873
SFRZ5843,565833,263+10,302
SFRH6560,136563,283-3,147
SFRM6484,881487,645-2,764
SFRU6426,333421,623+4,710
SFRZ6392,012386,261+5,751
SFRH7251,175250,171+1,004
SFRM7248,858243,249+5,609
SFRU7188,906186,169+2,737
SFRZ7181,453177,025+4,428
SFRH8117,093115,855+1,238