SOFR: Mix Of Positioning Moves In Futures On Tuesday, Oil Swings In Control
OI data points to a mix of dominant positioning themes across packs as the SOFR futures strip twist flattened on Tuesday.
- Short setting dominated in the whites with long cover noted in the reds, before short cover came to the fore in the greens & blues.
- Long cover in SFRZ6 provided the largest net positioning move in single contract terms.
- Swings in commodity prices after the recent escalation in the Middle East continued to shape sentiment.
| 03-Mar-26 | 02-Mar-26 | Daily OI Change |
| Daily OI Change In Packs |
SFRZ5 | 1,311,150 | 1,303,923 | +7,227 | Whites | +20,894 |
SFRH6 | 1,338,314 | 1,328,087 | +10,227 | Reds | -18,103 |
SFRM6 | 1,313,382 | 1,324,585 | -11,203 | Greens | -11,764 |
SFRU6 | 1,235,721 | 1,221,078 | +14,643 | Blues | -28,959 |
SFRZ6 | 1,328,772 | 1,376,511 | -47,739 |
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SFRH7 | 918,148 | 914,876 | +3,272 |
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SFRM7 | 881,340 | 856,736 | +24,604 |
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SFRU7 | 723,165 | 721,405 | +1,760 |
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SFRZ7 | 1,072,383 | 1,066,863 | +5,520 |
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SFRH8 | 549,439 | 550,360 | -921 |
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SFRM8 | 425,822 | 427,529 | -1,707 |
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SFRU8 | 366,737 | 381,393 | -14,656 |
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SFRZ8 | 379,157 | 392,860 | -13,703 |
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SFRH9 | 227,725 | 229,215 | -1,490 |
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SFRM9 | 189,246 | 198,159 | -8,913 |
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SFRU9 | 179,898 | 184,751 | -4,853 |
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US TSY FUTURES: CFTC Shows Asset Managers Adding To Long, Funds Trim Short
The latest CFTC CoT report showed asset managers adding to their overall net long, as net long building in FV, TY & WN futures comfortably outweighed net long cover in TU, UXY & US futures. The cohort remains net long across the curve, with curve-wide DV01 exposure climbing by $16.4mln.
- Meanwhile, leveraged funds added to net shorts in TY & WN futures, while they lightened their net shorts in TU, FV, UXY & US futures. The cohort remains net short across the curve but lightened its curve-wide net short DV01 exposure by ~$3.1mln.
- The broader non-commercial cohort trimmed net shorts in TU, FV, UXY & US futures, while adding to net shorts across TY & WN futures. The cohort remains net short across all contracts, adding DV01 of $2.6mln net shorts across the curve (See table below for more details).
- A reminder that the survey covered the week ending January 27.
Source: MNI - Market News/CFTC/Bloomberg Finance L.P.
STIR: Close To Pricing Next Fed Cut In June, Mfg Surveys In Focus Today
- US rates have slightly extended Friday’s steady rally seen after President Trump announced Kevin Warsh as his pick for Fed chair.
- Trump joked during a speech Saturday night that he would sue Warsh if he didn't lower interest rates.
- Fed Funds implied rates for 2026 meetings are mostly only 0.5bp lower from Friday’s close, close to but not fully pricing a next cut in June under the new Fed chair.
- FF cumulative cuts from 3.64% effective: 4.5bp Mar, 8.5bp Apr, 22.5bp Jun, 31bp Jul, 42bp Sep, 48bp Oct and 54bp Dec.
- SOFR futures are 1.5 ticks firmer through 2027 contracts, with the terminal implied yield another 1bp lower at 3.165% (SFRZ6) for a fresh low since mid-Jan.
- Today’s macro focus is likely on manufacturing business surveys, with the final January PMI at 0945ET before the ISM release at 1000ET.
- The Fedspeak schedule is light with only Atlanta Fed’s Bostic (retiring Feb) in a moderated discussion at 1230ET (no text)
CHF: Solid Turnaround for EURCHF as Momentum Sub 0.9200 in Focus
- Swiss Franc price action is catching the eye Monday, a notable underperformer across G10 as we approach the NY crossover. After reaching a new decade low of 0.9140 in APAC trade, EURCHF has had a solid turnaround, rising to a session high of 0.9212 in recent minutes.
- Broader cross-asset sentiment has most recently stabilised, potentially assisting the cross/CHF recovery, however, given the de-risking that has been on display elsewhere since Friday, short-term positioning dynamics may be assisting the squeeze.
- EURCHF lows today may also be approaching the threshold that could be considered alarming for the SNB. We highlighted last week that JPM stated we need to see EURCHF getting closer to 0.91 quickly for them to get worried, while ING said "the fact that EURCHF is offered near 0.92 and that USDCHF has broken under 0.7800 will be ringing alarm bells in Zurich”.
- As a reminder, President Schlegel spoke last week on the current economic situation and monetary policy, and notably there was no mention of the recent CHF strength.
- Today’s CHF reversal comes despite the earlier retail sales data beat, underpinning the narrative that the Swiss consumer is in solid shape and, barring new shocks, the SNB is likely to hold its policy rate at 0% for the foreseeable future.
