SOFR: Mix Of Long Setting & Short Cover In Futures On Thursday
OI data points to net short cover in the SOFR white and green futures packs, while long setting was more prominent in the reds as the space reacted to the soft CPI data and central bank decisions in Europe on Thursday.
| 18-Dec-25 | 17-Dec-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRZ5 | 1,535,456 | 1,544,742 | -9,286 | Whites | -32,469 |
SFRH6 | 1,319,044 | 1,347,725 | -28,681 | Reds | +40,735 |
SFRM6 | 1,164,021 | 1,156,188 | +7,833 | Greens | -17,562 |
SFRU6 | 1,202,382 | 1,204,717 | -2,335 | Blues | +163 |
SFRZ6 | 1,145,941 | 1,129,570 | +16,371 |
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SFRH7 | 869,724 | 853,766 | +15,958 |
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SFRM7 | 765,553 | 762,411 | +3,142 |
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SFRU7 | 815,731 | 810,467 | +5,264 |
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SFRZ7 | 835,178 | 837,343 | -2,165 |
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SFRH8 | 469,013 | 474,440 | -5,427 |
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SFRM8 | 393,979 | 406,608 | -12,629 |
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SFRU8 | 382,056 | 379,397 | +2,659 |
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SFRZ8 | 326,093 | 329,908 | -3,815 |
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SFRH9 | 207,196 | 203,886 | +3,310 |
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SFRM9 | 209,705 | 211,603 | -1,898 |
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SFRU9 | 176,907 | 174,341 | +2,566 |
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EQUITIES: Option Expiries
Equity Option expiry for Friday in Notional Term:
US:
- SPX: $1.47T vs $1.36T (Monday).
- NDX; $86.64bn vs $77.92bn.
- Amazon: $18.70bn vs $16.93bn.
- Apple: $19.19bn vs $16.97bn.
- NVIDIA: $47.03bn (new update).
EU:
- SX5E: €139.90bn vs €138.74bn.
- SX7E: €4.31bn vs €4.43bn.
- Dax: €14.71bn vs €14.05bn.
- FTSE: £14.50bn vs £14.30bn.
LOOK AHEAD: Wednesday Data Calendar: Trade Balance, Imp/Exp, Fed Speak, 20Y Bond
- US Data/Speaker Calendar (prior, estimate)
- 11/19 0700 MBA Mortgage Applications
- 11/19 0830 Trade Balance (-$78.3B, -$60.4B)
- 11/19 0830 Imports/Exports MoM
- 11/19 1000 Fed Gov Miran on bank regs
- 11/19 1130 US Tsy $69B 17W bill auction
- 11/19 1200 Pres Trump remarks at Saudi Investment Forum
- 11/19 1245 Richmond Fed Barkin economic outlook
- 11/19 1300 US Tsy $16B 20Y Bond auction (912810UQ9)
- 11/19 1400 NY Fed Williams welcome remarks
- 11/19 1400 FOMC Meeting Minutes
- Source: Bloomberg Finance L.P. / MNI
OPTIONS: One-Week G10 Vols See Support as UK Budget, RBNZ Decision Draw Closer
Vol markets are highly active early Wednesday, with the front-end of the curve capturing key risk events including the UK Budget and the RBNZ rate decision.
- The GBPUSD vol premium over EURUSD has only traded wider on two occasions since the Truss/Kwarteng budget in 2022: January 2025's GBP sell-off, and the BoE's 50bps rate hike in June 2023. This signals broad currency risk into Reeves' Budget - despite more settled expectations of the tax-and-spend measures.
- In anticipation of Wednesday's RBNZ rate decision and expected final cut in the cycle to 2.25%, AUDNZD one-week vols have rallied sharply, topping 8 points for only the third time in three years - the highest since Trump's Liberation Day tariff announcement in April. A signal for further easing seems unlikely - former senior officials told MNI in October that fresh cuts in 2026 would "require a significant deterioration in the labour market and broader activity".
- The RBNZ-tied risk premium is clear to see in the implied/realised vol curve: the one-week maturity now prints the largest premium over the average across G10 FX - including GBPUSD (see below).
