SOFR: Mix Of Short Cover & Long Setting On Thursday
OI data points to net short cover dominating through the reds as SOFR futures rallied on Thursday, before net long setting came to the fore further out the strip.
- Soft labor market data and ongoing headwinds for U.S. tech names in equity trade drove the dovish move.
| 05-Feb-26 | 04-Feb-26 | Daily OI Change |
| Daily OI Change In Packs |
SFRZ5 | 1,356,377 | 1,352,851 | +3,526 | Whites | -98,871 |
SFRH6 | 1,373,740 | 1,421,042 | -47,302 | Reds | -39,743 |
SFRM6 | 1,435,095 | 1,469,351 | -34,256 | Greens | +15,180 |
SFRU6 | 1,458,539 | 1,479,378 | -20,839 | Blues | +23,266 |
SFRZ6 | 1,411,656 | 1,432,529 | -20,873 |
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SFRH7 | 1,040,903 | 1,046,487 | -5,584 |
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SFRM7 | 887,883 | 892,828 | -4,945 |
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SFRU7 | 838,801 | 847,142 | -8,341 |
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SFRZ7 | 904,529 | 882,613 | +21,916 |
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SFRH8 | 514,518 | 524,037 | -9,519 |
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SFRM8 | 446,221 | 447,088 | -867 |
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SFRU8 | 387,121 | 383,471 | +3,650 |
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SFRZ8 | 380,190 | 373,411 | +6,779 |
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SFRH9 | 217,032 | 220,308 | -3,276 |
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SFRM9 | 228,622 | 212,898 | +15,724 |
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SFRU9 | 178,480 | 174,441 | +4,039 |
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STIR: Holding Two Fed 2026 Cuts From June Ahead Of Important US Data
- Fed Funds implied rates are 0.5bp higher on the day for the late January FOMC meeting but 0.5-1bp lower for 2H26 meetings as they follow European rates after inflation data.
- It holds yesterday’s trimming of rate cut expectations for the remaining meetings under Fed Chair Powell (cumulative 17.5bp Apr) despite downward revisions for the S&P Global US services PMI.
- Cumulative cuts from 3.64% effective: 4bp Jan, 12.5bp Mar, 17.5bp Apr, 32.5bp Jun, 49.5bp Sep and 59.5bp Dec.
- SOFR futures are up to 2.5 ticks firmer looking out to end-2027 contracts vs 4.5 ticks for Euribor, with the SOFR terminal implied yield of 3.10% (H7) holding recent ranges.
- Today’s calendar focus is on data with monthly ADP at 0815ET before ISM Services, JOLTS and factory orders all at 1000ET.
- The Fedspeak schedule is light, with VC Supervision Bowman (voter) on banking supervision and regulation (1610ET, text + Q&A).
LOOK AHEAD: Wednesday Data Calendar: ADP, ISM Services, JOLTS, Fed VC Bowman
- US Data/Speaker Calendar (prior, estimate). All times ET
- 01/07 0700 MBA Mortgage Applications
- 01/07 0815 ADP Employment Change (-32k, 50k)
- 01/07 0830 Chicago Fed CARTS
- 01/07 1000 ISM Services Index (52.6, 52.2), Prices Paid (65.4, 64.9)
- 01/07 1000 JOLTS Job Openings (7.67M, 7.648M), Quits (2.941M, 2.995M)
- 01/07 1000 Factory Orders (0.2%, -1.2%), Durable Goods Orders (-2.2%, -2.2%)
- 01/07 1130 US Tsy $69B 17W bill auction
- 01/07 1430 Pres Trump signs executive orders, closed press
- 01/07 1610 Fed VC Bowman on bank supervision/regulation (text, Q&A)
- Source: Bloomberg Finance L.P. / MNI
GILT TECHS: (H6) Breaches Resistance
- RES 4: 92.72 1.618 proj of the Dec 16 - 17 - 22 price swing
- RES 3: 92.57 1.00 proj of the Nov 19 - 27 - Dec 16 price swing
- RES 2: 92.23 1.236 proj of the Dec 16 - 17 - 22 price swing
- RES 1: 92.09 Intraday high
- PRICE: 92.02 @ 11:13 GMT Jan 7
- SUP 1: 91.53 Intraday low
- SUP 2: 91.13 20-day EMA
- SUP 3: 90.70 Low Jan 2
- SUP 4: 90.50 Low Dec 16 and a key support
Gilt futures have traded sharply higher today and the contract is through resistance at 91.93, the Nov 27 high. This strengthens a short-term bullish condition and paves the way for a climb towards 92.57, a Fibonacci projection. Initial support is seen at 91.53, today’s intraday low. Support at the 20-day EMA lies at 91.13. A break through the average would signal a possible reversal.
