SOFR: Mix Of Positioning Swings In Futures On Thursday
OI data points to a mix of net long (SFRU5 & Z5) and short (SFRM6) setting in the whites, before short setting and long cover came to the fore further out as the SOFR futures strip twist steepened on Thursday.
| 09-Oct-25 | 08-Oct-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRU5 | 1,429,471 | 1,415,421 | +14,050 | Whites | +66,735 |
SFRZ5 | 1,540,477 | 1,506,309 | +34,168 | Reds | -24,731 |
SFRH6 | 1,195,366 | 1,181,271 | +14,095 | Greens | +5,981 |
SFRM6 | 1,021,489 | 1,017,067 | +4,422 | Blues | +2,806 |
SFRU6 | 990,392 | 990,170 | +222 |
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SFRZ6 | 1,005,118 | 1,023,285 | -18,167 |
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SFRH7 | 791,541 | 796,283 | -4,742 |
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SFRM7 | 786,712 | 788,756 | -2,044 |
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SFRU7 | 678,380 | 674,063 | +4,317 |
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SFRZ7 | 761,890 | 758,382 | +3,508 |
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SFRH8 | 433,215 | 430,609 | +2,606 |
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SFRM8 | 366,135 | 370,585 | -4,450 |
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SFRU8 | 298,322 | 298,373 | -51 |
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SFRZ8 | 330,184 | 327,879 | +2,305 |
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SFRH9 | 191,741 | 191,816 | -75 |
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SFRM9 | 169,548 | 168,921 | +627 |
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US TSY FUTURES: Net Long Cover Dominated On Tuesday
OI data points to net long cover in most contracts as Tsy futures settled lower on Tuesday.
- Modest rounds of net short setting in UXY & WN futures broke the broader trend.
- The largest DV01 equivalent positioning swing came in US futures
| 09-Sep-25 | 08-Sep-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,485,021 | 4,499,161 | -14,140 | -577,163 |
FV | 6,789,828 | 6,797,362 | -7,534 | -336,257 |
TY | 5,263,443 | 5,282,797 | -19,354 | -1,327,159 |
UXY | 2,365,379 | 2,358,821 | +6,558 | +597,880 |
US | 1,828,158 | 1,854,170 | -26,012 | -3,695,960 |
WN | 2,021,065 | 2,015,958 | +5,107 | +948,801 |
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| Total | -55,375 | -4,389,858 |
FOREX: AUDNZD Bullish Conditions Intact, BofA Forecast Move to 1.1500
- Following on from our AUD post above, it is worth noting that Bank of America have reiterated their bearish view on NZD, especially vs AUD, which has been a persistent feature of G10 FX forecasts for most of the past 18 months.
- BofA forecasts imply further AUDNZD appreciation, and they have a current 2026 year-end forecast of 1.15.
- However, the bank notes that history does not favour AUDNZD longs, referencing that since the cross closed below 1.12 in the last week of November 2013, the cross has only closed at or above 1.12 in 18 (out of 614) weeks. BofA say they are “acutely aware of this risk given AUDNZD longs also appear to be crowded.”
- From a technical perspective, bullish conditions remain firmly intact for AUDNZD, with moving average indicators underpinning this theme. Short-term dips below 1.11 appear to be meeting solid demand, bolstering the case for a test of double top medium-term resistance at 1.1188. Initial support is seen at 1.1073, the 20-day EMA.
- In New Zealand, the calendar focus is on Q2 GDP and August trade figures, scheduled across September 18/19.
OAT: Commerz Still Recommend Lightening OAT Exposure During Any Outperformance
We have already noted that OAT/Bunds trades wider today, with the spread trading above 80bp since the benchmark OAT roll.
- Commerzbank write “with Macron already deciding on a new centrist prime minister, the political gridlock is not solved, but short-term uncertainty looks set to fade further, and we expect Fitch to maintain its AA-/negative rating on Friday. We therefore continue to see value in tactical OAT longs for now and target 70bp in the old/ 77bp in the new benchmark spread vs. Bunds and continue to suggest using periods of strength to reduce structural OAT exposure”.
