SOFR: Mix Of Net Long Setting & Short Cover In Futures On Wednesday
OI data points to net short cover dominating in the whites on Wednesday, even with a fairly large round of net long setting in SFRH6 noted.
- Positioning was more mixed further out the strip, with a better balance between the two seen in the reds, before net long setting came to the fore in the greens and blues.
- SOFR futures settled higher on Wednesday after ADP employment data came in on the soft side, while ongoing speculation surrounding Kevin Hassett becoming the next Fed Chair continues to promote dovish flow.
- As noted in our recent bullet, there are plenty of labor market indicators due for release today (weekly jobless claims, Challenger Job cuts, Revelio nonfarm payrolls estimate & Chicago Fed data).
| 03-Dec-25 | 02-Dec-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRU5 | 1,317,795 | 1,347,680 | -29,885 | Whites | -62,329 |
SFRZ5 | 1,596,375 | 1,649,548 | -53,173 | Reds | -1,801 |
SFRH6 | 1,364,377 | 1,342,322 | +22,055 | Greens | +6,363 |
SFRM6 | 1,146,339 | 1,147,665 | -1,326 | Blues | +8,762 |
SFRU6 | 1,075,438 | 1,068,152 | +7,286 |
|
|
SFRZ6 | 1,111,785 | 1,126,321 | -14,536 |
|
|
SFRH7 | 845,085 | 841,045 | +4,040 |
|
|
SFRM7 | 778,570 | 777,161 | +1,409 |
|
|
SFRU7 | 831,967 | 831,138 | +829 |
|
|
SFRZ7 | 843,575 | 836,677 | +6,898 |
|
|
SFRH8 | 433,446 | 427,868 | +5,578 |
|
|
SFRM8 | 410,370 | 417,312 | -6,942 |
|
|
SFRU8 | 378,511 | 371,330 | +7,181 |
|
|
SFRZ8 | 321,363 | 320,429 | +934 |
|
|
SFRH9 | 195,364 | 195,784 | -420 |
|
|
SFRM9 | 206,839 | 205,772 | +1,067 |
|
|
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
LOOK AHEAD: Tuesday Data Calendar: Fed VC Bowman, Redbook Retail Sales
Due to the ongoing US Govt shutdown, Trade Balance, Durables & Factory Goods Orders, JOLTS job openings has been suspended. That leaves Redbook Retail Sales, Fed speak and a Tsy bill auction this afternoon.
- US Data/Speaker Calendar (prior, estimate)
- 11/04 0635 Fed VC Bowman on bank supervision & policy, Santander conf
- 11/04 0855 Redbook Retail Sales
- 11/04 1130 US Tsy $95B 6W bill auction
- Source: Bloomberg Finance L.P. / MNI
SONIA OPTIONS: Call Condor seller
SFIZ5 96.15/96.25/96.35/96.45 c condor, sold at 4.5 in 5k.
STIR: Fed Rate Path Softens, Bowman Next Up In Early Remarks From Spain
- Fed Funds implied rates have more than unwound yesterday’s increase, dipping 1bp for Dec, 1.5bp for Mar and 3bp for June in steady moves through European hours.
- Broader risk-off plays a role with equity and crude oil futures under pressure, the latter with WTI -1.6%.
- Cumulative cuts from assumed 3.87% effective: 16.5bp Dec, 26bp Jan, 34.5bp Mar, 40.5bp Apr, 56bp Jun.
- SOFR futures are up to +0.03 on the day through M6-M7 contracts, with the terminal implied yield of 3.085% (H7) pulling back a touch off yesterday’s highest close since August.
- Today's sole Fedspeak comes from VC Supervision Bowman (voter), earlier than usual at 0635ET being in Spain. She will speak on supervision and mon pol but with no prepared text.
- Second only to Miran as the most dovish FOMC member, we expect similar rhetoric to pre-FOMC meeting remarks that bigger and faster cuts may be warranted with the possibility that the Fed has fallen behind the curve on weakening labor market conditions. She’s one of the 9 rate dots at 3.6% and we would guess one of the 5 who are either at 2.6% or 2.9% for 2026.
- Updating on latest notable Fedspeak, Gov. Cook in long-awaited remarks yesterday supported last week’s cut as “the downside risks to employment are greater than the upside risks to inflation”. Keeping rates “modestly restrictive” is “appropriate given that inflation remains somewhat above our 2 percent target."
