September 18, 2024 10:41 GMT
STIR: Short Setting Dominated In SOFR Futures Following Retail Sales
STIR
OI data points to short setting in most SOFR futures during yesterday’s modest sell off.
- The move came after in-line to slightly firmer-than-expected retail sales data,
- We would suggest that an unwind of existing longs factored in as well, given the recent dovish moves/positioning ahead of this evening’s FOMC decision.
- Markets still price greater-than-even odds of a 50bp cut at today’s FOMC decision, although there is an unusual degree of uncertainty evident, with ~40bp of cuts priced into OIS and ~41bp priced into Fed funds futures.
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17-Sep-24
16-Sep-24
Daily OI Change
Daily OI Change In Packs
SFRM4
1,138,275
1,138,396
-121
Whites
+80,541
SFRU4
1,409,763
1,371,710
+38,053
Reds
+49,287
SFRZ4
1,289,525
1,250,904
+38,621
Greens
+21,487
SFRH5
1,098,428
1,094,440
+3,988
Blues
+7,573
SFRM5
905,215
878,684
+26,531
SFRU5
698,313
702,540
-4,227
SFRZ5
959,485
960,094
-609
SFRH6
726,277
698,685
+27,592
SFRM6
616,682
607,530
+9,152
SFRU6
540,693
538,137
+2,556
SFRZ6
574,804
558,403
+16,401
SFRH7
338,547
345,169
-6,622
SFRM7
292,675
304,349
-11,674
SFRU7
253,047
232,899
+20,148
SFRZ7
229,971
229,341
+630
SFRH8
172,033
173,564
-1,531
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