SOFR: Mix Of Long Cover & Short Setting In Futures On Wednesday
OI data points to long cover dominating in the whites, greens and blues, while short setting was most prominent in the reds as most SOFR futures settled lower on Wednesday. The escalation of the conflict in the Middle East and resultant swings in oil prices continue to dominate when it comes to fundamental inputs.
| 04-Mar-26 | 03-Mar-26 | Daily OI Change |
| Daily OI Change In Packs |
SFRZ5 | 1,309,075 | 1,305,899 | +3,176 | Whites | -49,877 |
SFRH6 | 1,329,975 | 1,342,151 | -12,176 | Reds | +63,024 |
SFRM6 | 1,301,300 | 1,311,312 | -10,012 | Greens | -14,831 |
SFRU6 | 1,205,302 | 1,236,167 | -30,865 | Blues | -5,909 |
SFRZ6 | 1,345,326 | 1,305,806 | +39,520 |
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SFRH7 | 929,038 | 915,492 | +13,546 |
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SFRM7 | 877,541 | 865,641 | +11,900 |
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SFRU7 | 724,542 | 726,484 | -1,942 |
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SFRZ7 | 1,072,763 | 1,068,007 | +4,756 |
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SFRH8 | 526,358 | 547,256 | -20,898 |
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SFRM8 | 432,051 | 432,663 | -612 |
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SFRU8 | 382,152 | 380,229 | +1,923 |
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SFRZ8 | 380,881 | 379,910 | +971 |
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SFRH9 | 222,404 | 227,412 | -5,008 |
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SFRM9 | 189,231 | 188,743 | +488 |
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SFRU9 | 180,648 | 183,008 | -2,360 |
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USD: DXY Price Signal Summary - Monitoring Key Trendline Support
USD weakness in January resulted in the breach of a key trendline support in the USD Index (DXY). The recovery over the past few days highlights an interesting technical feature around this trendline that will be a key focus this month.
- The trendline is drawn from the May 2011 low (using a monthly frequency).
- The value of the line for February is 97.53.
- January's monthly close below the line marked an important USD bearish signal.
- However, the recovery so far this month does highlight the fact that the recent break may turn out to be a false one.
- A strong bullish February and a monthly close above the line would suggest a potential false break in January - and highlight a possible medium-term bullish theme.
- Important short-term resistance levels to watch are:
- 97.84 - the 20-day EMA.
- 98.37 - the 50-day EMA and a key resistance.
- A clear break of the 50-day average would be an important short-term bullish development.
- Key support is at 95.55, the January low.
STIR: Next Fed Cut Increasingly Seen In July, No JOLTS Today
- US rates increasingly eye a next Fed cut not until July as they modestly extended yesterday’s hawkish shift with its added tailwind from a surprisingly strong ISM manufacturing report.
- FF cumulative cuts from 3.64% effective: 2.5bp Mar, 6bp Apr, 17bp Jun, 26bp Jul, 36bp Sep, 42.5bp Oct and 48bp Dec.
- SOFR futures are 0.5-2 ticks lower looking out to end-2027, with the terminal implied yield of 3.235% (Z6, +1.5bp) nudging a little closer to Jan 22's 3.285% highest close since July.
- There won’t be a JOLTS report today and the BLS has said it won’t release a NFP report on Friday regardless of how quickly the partial government shutdown is resolved.
- That sees today’s data confined to retail sales indicators with the weekly Johnson Redbook report at 0855ET before Wards vehicle sales.
- Fedspeak from Richmond Fed’s Barkin (’27 voter) on the US economy at 0800ET (text + Q&A), who on Jan 15 described AI and the rich as the two engines for today’s economy whilst saying it’s hard to put weight on data from the past three months. He’s followed by VC Supervision Bowman (voter) in a WSJ moderated discussion at 0940ET (text tbd), with the exact topic unknown but the conference focused on capital markets and the future of global finance.
EGB OPTIONS: Bund outright Put buyer
RXH6 127p, bought for 18 up to 18.5 in 6k.
