Free Trial

OI Suggests That Long Cover Dominated in SOFR Futures Post-CPI

STIR

Yesterday’s CPI-driven move lower in SOFR futures and preliminary OI data suggests that net long cover dominated through the blues as hawkish Fed repricing took hold.

  • Pockets of net short setting were also seen.
  • The hawkish repricing came alongside a raft of sell-side view changes re: the Fed outlook, we will cover that in more detail in our inflation data review following today’s PPI release.
10-Apr-2409-Apr-24Daily OI ChangeDaily OI Change In Packs
SFRH4959,316965,728-6,412Whites-17,139
SFRM41,172,5571,172,211+346Reds-29,539
SFRU4958,284966,635-8,351Greens-10,566
SFRZ41,248,3781,251,100-2,722Blues-18,234
SFRH5720,246726,449-6,203
SFRM5827,223832,041-4,818
SFRU5679,954688,025-8,071
SFRZ5677,553688,000-10,447
SFRH6506,430505,587+843
SFRM6525,376534,306-8,930
SFRU6375,359370,808+4,551
SFRZ6377,930384,960-7,030
SFRH7233,690248,282-14,592
SFRM7200,216199,075+1,141
SFRU7171,298164,198+7,100
SFRZ7172,477184,360-11,883
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.