STIR: Mix Of Short Setting & Long Cover Seen During Yesterday's SOFR Sell Off
OI data points to a mix of net short setting and long cover during yesterday’s sell off in SOFR futures, with the former dominating in the reds and greens and the latter more prominent in the whites and blues.
| 09-Apr-25 | 08-Apr-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRH5 | 1,123,659 | 1,115,971 | +7,688 | Whites | -56,904 |
SFRM5 | 1,302,355 | 1,304,455 | -2,100 | Reds | +47,172 |
SFRU5 | 1,011,169 | 1,000,812 | +10,357 | Greens | +40,922 |
SFRZ5 | 1,085,754 | 1,158,603 | -72,849 | Blues | -9,049 |
SFRH6 | 677,923 | 684,719 | -6,796 |
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SFRM6 | 771,541 | 736,853 | +34,688 |
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SFRU6 | 695,975 | 684,871 | +11,104 |
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SFRZ6 | 921,279 | 913,103 | +8,176 |
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SFRH7 | 585,948 | 560,371 | +25,577 |
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SFRM7 | 529,606 | 529,529 | +77 |
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SFRU7 | 338,514 | 316,459 | +22,055 |
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SFRZ7 | 429,605 | 436,392 | -6,787 |
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SFRH8 | 268,383 | 262,751 | +5,632 |
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SFRM8 | 190,477 | 201,252 | -10,775 |
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SFRU8 | 141,648 | 144,717 | -3,069 |
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SFRZ8 | 148,495 | 149,332 | -837 |
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LOOK AHEAD: JOLTS, 3Y Auction
US Data/Speaker Calendar (prior, estimate). All times ET.
- 11-Mar 1000 JOLTS Job Openings (7.6M, 7.600M), Rate (4.5%, 4.5%)
- 11-Mar 1000 JOLTS Quits Level (3.197M, 3.176M), Rate (2.0%, --)
- 11-Mar 1130 US Tsy $70B 6W bill auction
- 11-Mar 1300 US Tsy $58B 3Y Note Auction (91282CMS7)
STIR: Long Setting Seen Across Most Of SOFR Futures Strip On Monday
OI data suggests that long setting was most prominent during Monday’s uptick in SOFR futures, as questions surrounding U.S. economic exceptionalism continued to resonate.
- That left 3 of the front 4 packs subjected to net long setting on the day.
- The most meaningful break of the wider trend came via net short cover between SFRU6-H7.
| 10-Mar-25 | 07-Mar-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRZ4 | 1,079,491 | 1,076,238 | +3,253 | Whites | +41,395 |
SFRH5 | 1,315,571 | 1,310,786 | +4,785 | Reds | +11,307 |
SFRM5 | 1,146,920 | 1,112,770 | +34,150 | Greens | -20,187 |
SFRU5 | 892,588 | 893,381 | -793 | Blues | +7,764 |
SFRZ5 | 1,005,539 | 1,001,501 | +4,038 |
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SFRH6 | 654,910 | 650,208 | +4,702 |
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SFRM6 | 600,063 | 590,503 | +9,560 |
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SFRU6 | 589,394 | 596,387 | -6,993 |
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SFRZ6 | 753,128 | 777,171 | -24,043 |
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SFRH7 | 460,080 | 460,885 | -805 |
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SFRM7 | 461,290 | 456,795 | +4,495 |
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SFRU7 | 304,409 | 304,243 | +166 |
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SFRZ7 | 392,529 | 390,896 | +1,633 |
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SFRH8 | 214,786 | 212,449 | +2,337 |
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SFRM8 | 177,787 | 175,009 | +2,778 |
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SFRU8 | 124,585 | 123,569 | +1,016 |
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US DATA: Small Business Optimism Further Off Highs, Hawkish Price Details
- NFIB small business optimism eased again in February to 100.7 (cons 101.0) from 102.8 in Jan for a further retreat from the recent high of 105.1 in December.
- It’s come against a further increase in the uncertainty index to 104 for its second highest reading in the series history (highest being 110 in Oct ahead of the presidential election).
- That said, optimism is still elevated by recent standards, having averaged 91 through 2022-Oct 2024 and it’s still close to the 103 averaged in 2019 prior to the pandemic.
- The price components of the survey saw a hawkish tilt: the net share reporting price increases over past three months jumped from 22% to 32% (highest since May 2023) and the net share expecting to increase prices over the next three months rose from 26% to 29% (above 28% in Nov-Dec for highest since Mar 2024) - all seasonally adjusted figures.
- The latter is at a level that will continue to imply difficulty in fully returning to the 2% inflation target should historical relationships hold - see charts.
