STIR: Mix Of Positioning Swings Seen In SOFR Futures On Tuesday
OI data points to a mix of long setting and short cover through SFRH7 on Tuesday, before short setting and long cover became more prominent further out as the strip twist steepened.
| 04-Mar-25 | 03-Mar-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRZ4 | 1,059,369 | 1,054,964 | +4,405 | Whites | +33,692 |
SFRH5 | 1,307,236 | 1,294,280 | +12,956 | Reds | -9,278 |
SFRM5 | 1,109,131 | 1,114,554 | -5,423 | Greens | -8,383 |
SFRU5 | 903,771 | 882,017 | +21,754 | Blues | +8,773 |
SFRZ5 | 987,453 | 1,022,989 | -35,536 |
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SFRH6 | 654,225 | 645,491 | +8,734 |
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SFRM6 | 592,759 | 581,501 | +11,258 |
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SFRU6 | 569,490 | 563,224 | +6,266 |
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SFRZ6 | 767,578 | 768,540 | -962 |
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SFRH7 | 438,851 | 433,451 | +5,400 |
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SFRM7 | 443,290 | 446,663 | -3,373 |
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SFRU7 | 302,445 | 311,893 | -9,448 |
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SFRZ7 | 381,794 | 359,601 | +22,193 |
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SFRH8 | 219,389 | 227,082 | -7,693 |
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SFRM8 | 178,870 | 183,299 | -4,429 |
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SFRU8 | 123,780 | 125,078 | -1,298 |
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US TSY FUTURES: Long Cover In TY Futures Dominated On Friday
OI data points to a mix of net short setting (FV, UXY, US & WN futures) and net long cover (TU & TY futures) ahead of the weekend, with late Friday trade being dominated by tariff headlines that weighed on Tsy futures.
- The size of the DV01 equivalent swing in TY futures (~$5.6mln) mean that net long cover dominated in curve-wide terms.
| 31-Jan-25 | 30-Jan-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,185,319 | 4,201,993 | -16,674 | -621,291 |
FV | 6,380,403 | 6,358,074 | +22,329 | +924,327 |
TY | 4,882,499 | 4,969,360 | -86,861 | -5,557,174 |
UXY | 2,319,904 | 2,294,916 | +24,988 | +2,184,165 |
US | 1,959,119 | 1,954,714 | +4,405 | +552,724 |
WN | 1,792,085 | 1,788,424 | +3,661 | +693,717 |
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| Total | -48,152 | -1,823,534 |
FOREX: USDJPY 100 Pips Off Overnight Highs, Bearish Threat Remains
- JPY resilience standing out on Monday as we approach the NY crossover, and USDJPY extends its pullback from the overnight highs to around 100 pips, back below 155.00. Price action is likely reflective of Japan being relatively well insulated to tariff rhetoric, but also its historical safe haven status gaining traction across the European session amid the broad weakness for major equity indices consolidating.
- The Jan 27 move down for USDJPY highlighted a bearish technical threat and significantly, initial firm resistance has remained intact at 156.75, the Jan 23 high. Overall, the pair has breached the 50-day EMA and a trendline drawn from the Sep 16 ‘24 low, signalling scope for a move towards 152.55, a Fibonacci retracement point.
- With the USD index remaining around 1% in the green, yen strength is most notable in the crosses. Perhaps the clearest barometers of global risk sentiment, it is notable that AUDJPY (-1.23%) has dipped through the December lows at 95.50 and NZDJPY (-1.52%) stands out, having pushed to a near six-month low below 0.8600. For both crosses, the early August carry unwind lows remain the clear medium-term targets.
OUTLOOK: Price Signal Summary - S&P E-Minis Bear Threat Remains Present
- In the equity space, the S&P E-Minis contract contract has started the week on a bearish note. The gap lower today and a breach of support at 5948.00, the Jan 27 low, strengthens a bearish threat and cancels - for now - a recent bullish theme. An extension down would open 5892.37, 76.4% retracement of the Aug 5 - Dec 6 bull leg. Initial resistance is at 6057.75, the Jan 31 low and a gap high on the daily chart. Clearance of this level would reinstate a bullish theme.
- A sharp reversal lower in the EUROSTOXX 50 futures contract signals the end of the recent bull run - for now - and the start of a corrective cycle. Price has gapped lower and traded through the 20-day EMA, at 5152.76. A resumption of weakness would pave the way for a move towards the 50-day EMA, at 5050.12, the 50-day EMA. On the upside, key resistance and the bull trigger has been defined at 5327.00, the Jan 31 high.
