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OI Suggests Net Long Setting Dominated In SOFR Futures Post-Fed

STIR

The combination of yesterday’s rally in SOFR futures and preliminary OI data points to net long setting as the dominant positioning factor through the blues.

  • A few pockets of modest net short cover interrupted the wider trend.
  • The move came as the FOMC decision was perceived as dovish on net.
  • Fed-rate cut premium deepened a little post-decision, with ~83bp of ’24 cuts now priced.
20-Mar-2419-Mar-24Daily OI ChangeDaily OI Change In Packs
SFRH41,044,5081,050,851-6,343Whites+111,641
SFRM41,150,0651,111,367+38,698Reds+9,137
SFRU4999,562936,131+63,431Greens+10,132
SFRZ41,141,8641,126,009+15,855Blues+13,010
SFRH5712,743704,557+8,186
SFRM5749,527748,967+560
SFRU5658,460666,809-8,349
SFRZ5662,698653,958+8,740
SFRH6459,806462,156-2,350
SFRM6505,436495,787+9,649
SFRU6378,599373,772+4,827
SFRZ6342,266344,260-1,994
SFRH7226,615218,882+7,733
SFRM7193,001192,278+723
SFRU7158,227154,880+3,347
SFRZ7190,510189,303+1,207
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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