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OI Suggests Long Setting Dominated In SOFR Futures On Thursday

STIR

OI data points to net long setting dominating in SOFR futures during Thursday's rally.

  • The only exception to the theme came via apparent net short cover in SFRM4 through Z4.
  • Yesterday's dovish repricing in Fed Funds futures leaves ~108bp of cuts priced over the next 4 FOMC decisions, with ~33bp of easing showing for the Sep meeting.
  • As we noted in our Tsy OI monitor, the combination of the recent run of apparent long setting, outright yield levels and degree of imminent Fed easing priced suggests that a “hawkish” NFP report presents the greatest risk to prevailing market positioning.
  • Furthermore, our preview of today's NFP release notes that "hurricane impact adds asymmetrical risk to reaction in payrolls surprises: a 20-30k miss could easily be faded whilst a beat would be an outright positive surprise. Revisions will be particularly important."
01-Aug-2431-Jul-24Daily OI ChangeDaily OI Change In Packs
SFRM41,130,3211,131,795-1,474Whites+11,657
SFRU41,086,2141,091,794-5,580Reds+56,843
SFRZ41,146,8281,156,995-10,167Greens+72,733
SFRH5950,605921,727+28,878Blues+16,632
SFRM5849,543841,168+8,375
SFRU5668,405652,612+15,793
SFRZ5927,553911,769+15,784
SFRH6612,380595,489+16,891
SFRM6555,334545,249+10,085
SFRU6508,218488,876+19,342
SFRZ6420,431392,857+27,574
SFRH7260,579244,847+15,732
SFRM7264,786263,800+986
SFRU7209,060203,801+5,259
SFRZ7237,788228,897+8,891
SFRH8147,007145,511+1,496
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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