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OI Suggests Mix Of Long & Short Setting Dominated In SOFR Post-PPI

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The combination of preliminary OI data and Friday’s movement in SOFR futures suggests that net long setting dominated through the greens, while net short setting was more prominent in the blues.

  • Mixed PCE readthrough from the components of the firmer-than-expected headline PPI numbers tempered the initial hawkish reaction to the data.
  • Fed pricing was little changed to a touch more dovish on the day, with ~25bp of cuts priced through the Sep FOMC & ~63bp of ’24 cuts priced ahead of the close.
12-Jul-2411-Jul-24Daily OI ChangeDaily OI Change In Packs
SFRM41,183,6851,192,435-8,750Whites+45,435
SFRU41,155,6471,107,181+48,466Reds+55,637
SFRZ41,147,6861,144,500+3,186Greens+19,135
SFRH5851,597849,064+2,533Blues+11,060
SFRM5804,653790,015+14,638
SFRU5708,529710,832-2,303
SFRZ5890,911852,949+37,962
SFRH6562,235556,895+5,340
SFRM6492,188492,725-537
SFRU6445,861438,295+7,566
SFRZ6390,134374,586+15,548
SFRH7238,944242,386-3,442
SFRM7244,642243,272+1,370
SFRU7192,532199,834-7,302
SFRZ7199,683186,057+13,626
SFRH8123,264119,898+3,366
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The combination of preliminary OI data and Friday’s movement in SOFR futures suggests that net long setting dominated through the greens, while net short setting was more prominent in the blues.

  • Mixed PCE readthrough from the components of the firmer-than-expected headline PPI numbers tempered the initial hawkish reaction to the data.
  • Fed pricing was little changed to a touch more dovish on the day, with ~25bp of cuts priced through the Sep FOMC & ~63bp of ’24 cuts priced ahead of the close.
12-Jul-2411-Jul-24Daily OI ChangeDaily OI Change In Packs
SFRM41,183,6851,192,435-8,750Whites+45,435
SFRU41,155,6471,107,181+48,466Reds+55,637
SFRZ41,147,6861,144,500+3,186Greens+19,135
SFRH5851,597849,064+2,533Blues+11,060
SFRM5804,653790,015+14,638
SFRU5708,529710,832-2,303
SFRZ5890,911852,949+37,962
SFRH6562,235556,895+5,340
SFRM6492,188492,725-537
SFRU6445,861438,295+7,566
SFRZ6390,134374,586+15,548
SFRH7238,944242,386-3,442
SFRM7244,642243,272+1,370
SFRU7192,532199,834-7,302
SFRZ7199,683186,057+13,626
SFRH8123,264119,898+3,366