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OI Suggests Net Long Setting Dominated In SOFR Futures Following NFPS

STIR

Friday’s rally in SOFR futures and preliminary OI data points to net long setting dominating in the wake of the NFP report, although pockets of net short cover were also seen.

  • This allowed the net long setting theme in play since Chair Powell’s Tuesday comments to extend further, with the ‘dovish’ elements of the release rounding out a week of relatively soft U.S. data.
  • That run of data saw FOMC-dated move from pricing ~44bp of ’24 cuts late on June 28 to ~51bp of cuts late on July 5.
05-Jul-2403-Jul-24Daily OI ChangeDaily OI Change In Packs
SFRM41,193,7461,209,132-15,386Whites+20,952
SFRU41,117,4831,121,750-4,267Reds+26,401
SFRZ41,063,0471,018,614+44,433Greens+10,685
SFRH5818,797822,625-3,828Blues+1,836
SFRM5753,878734,132+19,746
SFRU5658,655665,771-7,116
SFRZ5828,779814,781+13,998
SFRH6558,800559,027-227
SFRM6485,182481,606+3,576
SFRU6417,879421,851-3,972
SFRZ6388,908380,859+8,049
SFRH7254,133251,101+3,032
SFRM7245,398241,332+4,066
SFRU7184,598182,841+1,757
SFRZ7174,109177,574-3,465
SFRH8114,558115,080-522
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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