SOFR: Mix Of Net Short Cover & Long Setting In Futures On Thursday
Oct-17 10:38
OI data points to a mix of net short cover and long setting as SOFR futures rallied on the wider risk-off price action seen on Thursday.
- Note that short cover in SFRZ5 provided the largest net positioning swing in single contract terms, outweighing the net long setting seen in the rest of the white pack.
- Net short cover was also seen in the green pack.
- Net long setting was more prominent in both the reds and the blues.
| 16-Oct-25 | 15-Oct-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRU5 | 1,416,820 | 1,409,950 | +6,870 | Whites | -17,097 |
SFRZ5 | 1,481,647 | 1,545,768 | -64,121 | Reds | +39,463 |
SFRH6 | 1,131,622 | 1,109,189 | +22,433 | Greens | -9,740 |
SFRM6 | 1,034,085 | 1,016,364 | +17,721 | Blues | +6,015 |
SFRU6 | 1,009,435 | 1,008,128 | +1,307 |
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SFRZ6 | 1,025,847 | 1,023,613 | +2,234 |
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SFRH7 | 835,383 | 804,286 | +31,097 |
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SFRM7 | 784,041 | 779,216 | +4,825 |
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SFRU7 | 673,869 | 685,647 | -11,778 |
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SFRZ7 | 779,855 | 770,855 | +9,000 |
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SFRH8 | 417,826 | 424,833 | -7,007 |
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SFRM8 | 373,702 | 373,657 | +45 |
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SFRU8 | 308,228 | 306,465 | +1,763 |
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SFRZ8 | 328,657 | 328,382 | +275 |
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SFRH9 | 196,387 | 194,428 | +1,959 |
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SFRM9 | 175,509 | 173,491 | +2,018 |
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STIR: Fed Cut Pricing For Today Inches Higher But Still <10% Odds Of 50bp Cut
Sep-17 10:37
- Fed Funds implied rates have dipped 0.5bp for today’s decision in response to aforementioned flow (Ongoing trade in FFV5 with paper paying 95.945 on 7K, taken bid over), but it still points to less than 10% odds of a 50bp cut.
- It holds the broad paring in 50bp cut expectations having increased to ~20% after payrolls earlier in the month.
- Cumulative cuts from 4.33% effective: 26.5bp for today, 46bp Oct, 68.5bp Dec, 82.5bp Jan and 96.5bp Mar.
- SOFR futures are essentially unchanged on the day.
- That includes the implied terminal yield of 2.88% (SFRH7), eyeing 145bp of cuts ahead including fully priced cut. It’s within ranges for the past two weeks, including dovish extremes of ~150bp of cuts after payrolls.
- MNI Fed Preview: https://media.marketnews.com/Fed_Prev_Sep2025_With_Analysts_c3eababfe1.pdf
BUNDS: Looking to close the Gap
Sep-17 10:37
- The German curves are tilted to the flatter side in early trade, but the Schatz edges through the very tight intraday high with 5k lifted.
- This is underpinning Bund, albeit still just short of the earlier printed high.
- Initial area of interest in Bund, not a Tech level, is the 129.13 gap.
OUTLOOK: Price Signal Summary - Gold Bulls Remain In The Driver's Seat
Sep-17 10:31
- On the commodity front, Gold remains in a clear bull cycle and the yellow metal is trading closer to its recent highs. A fresh all-time high, once again this week, confirms a resumption of the primary uptrend and an extension of the sequence of higher highs and higher lows. The next objective is $3705.2, a 1.382 projection of the May 15 - Jun 16 - 30 price swing. Initial firm support lies at $3547.7, the 20-day EMA.
- In the oil space, the trend condition in WTI futures is unchanged - a bear cycle remains intact and the latest recovery is considered corrective. The pullback from the Sep 2 high highlights a possible recent reversal and the end of a corrective phase between Aug 13 - Sep 2. Initial resistance to watch is $66.03, the Sep 2 high. A stronger resumption of weakness would open $57.71, the May 30 low.
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