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OI Suggests Net Short Setting Dominated In SOFR Futures On Thursday

STIR

Yesterday's move lower in SOFR futures and preliminary OI data points to net short setting in all packs through the blues.

  • Pockets of long cover were also seen.
  • The inflation components of the latest flash S&P Global PMIs & Philly Fed surveys, along with the weekly jobless claims data, helped counter the rally that came on the back of the SNB & BoE decisions.
  • That left FOMC-dated OIS off dovish session extremes, pricing a little over 80bp of '24 cuts.
21-Mar-2420-Mar-24Daily OI ChangeDaily OI Change In Packs
SFRH41,028,5691,044,506-15,937Whites+20,531
SFRM41,172,8631,153,013+19,850Reds+26,390
SFRU41,013,688997,846+15,842Greens+17,350
SFRZ41,142,6251,141,849+776Blues+8,755
SFRH5718,280712,743+5,537
SFRM5764,280749,525+14,755
SFRU5668,762658,657+10,105
SFRZ5658,689662,696-4,007
SFRH6462,808459,806+3,002
SFRM6504,361505,436-1,075
SFRU6389,179378,585+10,594
SFRZ6347,062342,233+4,829
SFRH7230,925226,607+4,318
SFRM7194,384193,001+1,383
SFRU7157,873158,227-354
SFRZ7193,918190,510+3,408
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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