SOFR: Fresh Positions Set In Most Futures On Thursday
OI data points to a mix of net long setting (SFRU5-M6) and short setting dominating across much of the SOFR futures strip on Thursday, with only limited rounds of net long cover (SFRH8, M8 & Z8) interrupting.
| 11-Sep-25 | 10-Sep-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRM5 | 1,225,497 | 1,204,565 | +20,932 | Whites | +90,895 |
SFRU5 | 1,481,267 | 1,429,563 | +51,704 | Reds | +75,221 |
SFRZ5 | 1,674,810 | 1,659,998 | +14,812 | Greens | +33,131 |
SFRH6 | 1,204,080 | 1,200,633 | +3,447 | Blues | +14,951 |
SFRM6 | 1,023,413 | 996,018 | +27,395 |
|
|
SFRU6 | 889,548 | 877,762 | +11,786 |
|
|
SFRZ6 | 1,032,430 | 1,008,063 | +24,367 |
|
|
SFRH7 | 716,009 | 704,336 | +11,673 |
|
|
SFRM7 | 849,672 | 840,020 | +9,652 |
|
|
SFRU7 | 690,095 | 682,414 | +7,681 |
|
|
SFRZ7 | 686,073 | 669,270 | +16,803 |
|
|
SFRH8 | 446,239 | 447,244 | -1,005 |
|
|
SFRM8 | 357,384 | 359,017 | -1,633 |
|
|
SFRU8 | 273,387 | 257,747 | +15,640 |
|
|
SFRZ8 | 260,820 | 261,554 | -734 |
|
|
SFRH9 | 186,335 | 184,657 | +1,678 |
|
|
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
US TSY FUTURES: Mix Of Positioning Swings Seen Tuesday
OI data points to a mix of net short cover (TU), long setting (FV), short setting (TY & WN) and long cover (UXY & US) as the curve twist steepened on Tuesday.
- There was a very modest bias towards cover in DV01 equivalent terms, although positioning swings on both the curve and within individual contracts were contained.
| 12-Aug-25 | 11-Aug-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,510,070 | 4,560,629 | -50,559 | -1,856,120 |
FV | 7,056,967 | 7,019,753 | +37,214 | +1,592,387 |
TY | 5,226,061 | 5,205,642 | +20,419 | +1,351,125 |
UXY | 2,458,179 | 2,465,186 | -7,007 | -615,355 |
US | 1,765,899 | 1,774,368 | -8,469 | -1,188,285 |
WN | 2,005,682 | 2,001,889 | +3,793 | +695,636 |
|
| Total | -4,609 | -20,611 |
LOOK AHEAD: More Post-CPI Fedspeak
US Data/Speaker Calendar (prior, estimate). All times ET
- 08/13 0700 MBA mortgage applications
- 08/13 0800 Barkin repeats remarks on economy (text + Q&A)
- 08/13 1115 Trump visits The Kennedy Center and makes announcement
- 08/13 1130 US Tsy to sell $65B 17-W bills
- 08/13 1300 Goolsbee speaks at mon pol luncheon (text tbd, Q&A)
- 08/13 1330 Bostic speaks on economic outlook (Q&A only)
- 08/13 1600 Trump signs executive orders
Source: Bloomberg, Roll Call, MNI
FED FUNDS FUTURES: FFV5/X5 Spread Sold
FFV5/X5 ~2.9K given at -15.5.
