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OI Suggests Net Long Setting Dominated In SOFR Futures Following NFPS

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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
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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