SOFR: Mix Of Positioning Swings Seen During Wednesday’s Twist Steepening

OI data points to a mix of net long setting and some form of cover in the SOFR whites on Monday. Net long setting was seemingly seen in SFRU5 & Z5, while the unchanged price status of SFRH5 & M5 makes it hard to provide any real inference when it comes to the nature of the apparent net cover seem in those contracts.

• Net long setting then dominated in most of the reds, before a more balanced mix of net long setting and short cover became evident further out the strip.

• In the equity space, the trend condition in S&P E-Minis is unchanged and remains bullish. Recent gains delivered a print above 5993.50, the May 20 high and a bull trigger. The break highlights a resumption of the uptrend and maintains a price sequence of higher highs and higher lows. An extension would open 6057.00 next, the Mar 3 high. Key support lies at 5756.81, the 50-day EMA. A clear break of this average is required to highlight a reversal.
• The trend cycle in EUROSTOXX 50 futures remains bullish and recent weakness appears corrective. Moving average studies are in a bull-mode position, highlighting a clear dominant uptrend. Sights are on 5516.00, the Mar 3 high and the key bull trigger. Clearance of this level would strengthen a bull theme. Key support to watch lies at 5258.36, the 50-day EMA.

Source: Bloomberg