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OI Shows Mix Of Short Setting & Long Cover In SOFR Futures On Thursday, Market Still Long

STIR

In a similar fashion to Tsys, OI data suggests that SOFR futures saw a mix of net short setting and long cover during Thursday’s data-driven sell off, as some Fed rate cut premium was removed from STIRs.

  • Fed funds futures now price ~41bp of cuts for September and ~104bp of cumulative cuts through the Dec meeting.
  • Market positioning still seems long at this stage, with next week’s PPI & CPI data set to provide the next round of meaningful fundamental inputs.
08-Aug-2407-Aug-24Daily OI ChangeDaily OI Change In Packs
SFRM41,119,0991,127,748-8,649Whites-15,369
SFRU41,061,6161,077,279-15,663Reds-7,769
SFRZ41,143,9381,127,609+16,329Greens+35,776
SFRH5879,980887,366-7,386Blues+12,315
SFRM5798,026814,635-16,609
SFRU5673,899662,845+11,054
SFRZ5890,571882,095+8,476
SFRH6613,229623,919-10,690
SFRM6570,441561,112+9,329
SFRU6537,111531,107+6,004
SFRZ6468,419452,993+15,426
SFRH7253,154248,137+5,017
SFRM7233,735235,534-1,799
SFRU7208,262206,404+1,858
SFRZ7243,213237,844+5,369
SFRH8157,914151,027+6,887
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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