SOFR: Mix Of Short Setting & Long Cover Seen In Futures On Tuesday
OI data suggests that net short setting dominated in 3/4 white and green SOFR futures on Tuesday, while net long cover was more prominent in 3/4 reds and blues.
| 08-Jul-25 | 07-Jul-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRM5 | 1,305,751 | 1,307,623 | -1,872 | Whites | +31,642 |
SFRU5 | 1,188,133 | 1,183,517 | +4,616 | Reds | -24,686 |
SFRZ5 | 1,290,015 | 1,275,002 | +15,013 | Greens | +4,879 |
SFRH6 | 990,099 | 976,214 | +13,885 | Blues | -5,316 |
SFRM6 | 856,321 | 845,067 | +11,254 |
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SFRU6 | 819,116 | 837,275 | -18,159 |
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SFRZ6 | 899,903 | 912,413 | -12,510 |
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SFRH7 | 720,269 | 725,540 | -5,271 |
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SFRM7 | 668,280 | 664,476 | +3,804 |
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SFRU7 | 471,348 | 467,194 | +4,154 |
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SFRZ7 | 414,134 | 412,914 | +1,220 |
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SFRH8 | 314,802 | 319,101 | -4,299 |
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SFRM8 | 230,689 | 228,191 | +2,498 |
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SFRU8 | 199,237 | 204,307 | -5,070 |
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SFRZ8 | 185,482 | 187,455 | -1,973 |
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SFRH9 | 141,082 | 141,853 | -771 |
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STIR: Holding Bulk Of Friday’s Hawkish Shift On Payrolls
- Fed Funds implied rates for 2025 meetings have pulled a touch back from Friday’s shift back towards their most hawkish since February but still hold the bulk of the increase seen on a solid payrolls report.
- Cumulative cuts from 4.33% effective: 0bp Jun, 4.5bp Jul, 18.5bp Sep, 30.5bp Oct and 46.5bp Dec.
- As you can see from the table below, the path is back close to levels seen shortly before higher jobless claims a week and a half ago started a run of dovish data that was reversed with the payrolls report.
- There are slightly larger shifts further out the curve but the broad takeaway remains -- the SOFR implied terminal yield of 3.39% (SFRZ6) is 4.5bp lower on the day but still 7bp higher since NFPs after Friday saw its highest close since May 14.
- It’s a quiet data docket both today and tomorrow, with data focus firmly on Wednesday’s CPI report for May.
- The FOMC is now in media blackout ahead of the Jun 17-18 meeting.
US 10YR FUTURE TECHS: (U5) Bearish Threat
- RES 4: 111-30 76.4% retracement of the May 1 - 22 downleg
- RES 3: 111-19+ 1.0% 10-dma envelope
- RES 2: 111-14+ High Jun 5 & 61.8% of the May 1 - 22 downleg
- RES 1: 110-20+ 50-day EMA
- PRICE: 110-03+ @ 11:04 BST Jun 9
- SUP 1: 109-26 Low May 29
- SUP 2: 109-12+ Low May 22 and the bear trigger
- SUP 3: 109-09+ Low Apr 11 and key support
- SUP 4: 108-25+ 0.764 proj of the Apr 7 - 11 - May 1 price swing
The reversal in Treasury futures from last Thursday’s high, undermines a recent bullish theme. An extension would expose support at 109-26, the May 29 low, where a break would open key support and the bear trigger, at 109-12+, the May 22 low. Key short-term resistance has been defined at 111-14+, a Fibonacci retracement and the Jun 5 high. A break of this hurdle would be bullish.
BONDS: BTP Block trade
BTP Block trade, suggest buyer:
- IKU5 ~1.1k at 121.06.
So far the BTP/Bund spread finds good support at the big Psychological 90bps level.
