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STIR: OI Points To Short Setting & Long Cover In Most SOFR Futures On Friday

STIR
BulletMarketsFixed Income Bullets

OI data points to a mix of net short setting and long cover during Friday’s downtick in most SOFR futures. Exception came via apparent modest net long setting and short cover in SFRU4 & Z4.

  • Set up ahead of this week's event risk was cited during the reversal of the initial NFP-driven dovish move.
  • Dovish moves then seen early this week, linked to election betting odds/opinions polls pointing to positives for Harris, leave the following cut cycle priced: 24.5bp Nov, 45bp Dec, 60bp Jan and 101bp June.

 

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OI data points to a mix of net short setting and long cover during Friday’s downtick in most SOFR futures. Exception came via apparent modest net long setting and short cover in SFRU4 & Z4.

  • Set up ahead of this week's event risk was cited during the reversal of the initial NFP-driven dovish move.
  • Dovish moves then seen early this week, linked to election betting odds/opinions polls pointing to positives for Harris, leave the following cut cycle priced: 24.5bp Nov, 45bp Dec, 60bp Jan and 101bp June.

 

Keep reading...Show less