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OI Points to Short Setting & Long Cover Across Most Of SOFR Futures Strip

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OI data points to a mix of short setting and long cover during Friday’s weakness across most SOFR futures.

  • The only exception came via apparent net long setting in SFRM4.
  • Weakness across much of the strip came in the wake of slightly firmer-than-expected personal income data, while pressure in the long end (with an eye on a post-holiday supply deluge) may have provided some further spill over pressure.
  • Fed Funds futures price ~32bp of cuts for this month’s meeting.
  • Further out, ~98bp of cuts are priced through year end.
30-Aug-2429-Aug-24Daily OI ChangeDaily OI Change In Packs
SFRM41,149,1291,129,707+19,422Whites+18,437
SFRU41,358,9421,370,709-11,767Reds-25,160
SFRZ41,208,5181,187,648+20,870Greens-25,380
SFRH5906,643916,731-10,088Blues+10,685
SFRM5882,002888,677-6,675
SFRU5667,786671,887-4,101
SFRZ5912,491917,986-5,495
SFRH6657,245666,134-8,889
SFRM6668,908681,069-12,161
SFRU6547,356550,681-3,325
SFRZ6485,405495,403-9,998
SFRH7297,603297,499+104
SFRM7293,047289,650+3,397
SFRU7228,898224,848+4,050
SFRZ7235,682232,400+3,282
SFRH8166,912166,956-44
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OI data points to a mix of short setting and long cover during Friday’s weakness across most SOFR futures.

  • The only exception came via apparent net long setting in SFRM4.
  • Weakness across much of the strip came in the wake of slightly firmer-than-expected personal income data, while pressure in the long end (with an eye on a post-holiday supply deluge) may have provided some further spill over pressure.
  • Fed Funds futures price ~32bp of cuts for this month’s meeting.
  • Further out, ~98bp of cuts are priced through year end.
30-Aug-2429-Aug-24Daily OI ChangeDaily OI Change In Packs
SFRM41,149,1291,129,707+19,422Whites+18,437
SFRU41,358,9421,370,709-11,767Reds-25,160
SFRZ41,208,5181,187,648+20,870Greens-25,380
SFRH5906,643916,731-10,088Blues+10,685
SFRM5882,002888,677-6,675
SFRU5667,786671,887-4,101
SFRZ5912,491917,986-5,495
SFRH6657,245666,134-8,889
SFRM6668,908681,069-12,161
SFRU6547,356550,681-3,325
SFRZ6485,405495,403-9,998
SFRH7297,603297,499+104
SFRM7293,047289,650+3,397
SFRU7228,898224,848+4,050
SFRZ7235,682232,400+3,282
SFRH8166,912166,956-44