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Free AccessOI Suggests Long Setting Dominated In SOFR Futures On Thursday
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-24 | 31-Jul-24 | Daily OI Change | Daily OI Change In Packs | ||
SFRM4 | 1,130,321 | 1,131,795 | -1,474 | Whites | +11,657 |
SFRU4 | 1,086,214 | 1,091,794 | -5,580 | Reds | +56,843 |
SFRZ4 | 1,146,828 | 1,156,995 | -10,167 | Greens | +72,733 |
SFRH5 | 950,605 | 921,727 | +28,878 | Blues | +16,632 |
SFRM5 | 849,543 | 841,168 | +8,375 | ||
SFRU5 | 668,405 | 652,612 | +15,793 | ||
SFRZ5 | 927,553 | 911,769 | +15,784 | ||
SFRH6 | 612,380 | 595,489 | +16,891 | ||
SFRM6 | 555,334 | 545,249 | +10,085 | ||
SFRU6 | 508,218 | 488,876 | +19,342 | ||
SFRZ6 | 420,431 | 392,857 | +27,574 | ||
SFRH7 | 260,579 | 244,847 | +15,732 | ||
SFRM7 | 264,786 | 263,800 | +986 | ||
SFRU7 | 209,060 | 203,801 | +5,259 | ||
SFRZ7 | 237,788 | 228,897 | +8,891 | ||
SFRH8 | 147,007 | 145,511 | +1,496 |
To read the full story
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.