SOFR: Mix Of Short Setting And Long Cover Seen In Futures On Thursday

OI data points to a mix of net long setting and short cover as SOFR futures ticked higher on Tuesday.

• Net long setting was more prominent through the greens (in net pack terms), before net short cover moved to the fore in the blues. 

• RES 4: 112-15   61.8% retracement of the Apr 7 - 11 sell-off
• RES 3: 112-12+ High Jul 1 and a bull trigger
• RES 2: 111-28   High Jul 3 
• RES 1: 111-14+ High Jul 22 
• PRICE:‌‌ 111-05 @ 11:04 BST Jul 23
• SUP 1: 110-30/08+ 50-day EMA / Low Jul 14 & 16        
• SUP 2: 110-03   76.4% retracement of the May 22 - Jul 1 bull leg
• SUP 3: 109-28   Low Jun 6 and 11
• SUP 4: 109.25   Low May 27

Treasury futures traded higher again Tuesday, extending the firm start to the week. The move higher has resulted in a break of the 20-day EMA, strengthening the recovery, and resistance at 111-13+, the Jul 10 high, has been pierced. A clear break of this hurdle would highlight a stronger reversal. This would open 111-28, the Jul 3 high. Key support is 110-08+, the 14 and 16 low. A move through this support would reinstate a bearish theme.

OI data points to a mix of net long setting (TU, TY & UXY) and short cover (FV, US & WN) during yesterday’s uptick in futures, with the positioning swings effectively offsetting in DV01 terms.