SOFR: Mix Of short Setting & Long Cover Seen Thursday
OI data points to net short setting dominating in most of the white SOFR futures during Thursday's sell off, before net long cover moved to the fore further out the strip, with only two rounds of net short setting seen beyond the whites.
| 24-Jul-25 | 23-Jul-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRM5 | 1,276,052 | 1,256,420 | +19,632 | Whites | +29,245 |
SFRU5 | 1,299,262 | 1,302,507 | -3,245 | Reds | -14,958 |
SFRZ5 | 1,321,223 | 1,316,404 | +4,819 | Greens | -14,596 |
SFRH6 | 1,031,522 | 1,023,483 | +8,039 | Blues | -10,750 |
SFRM6 | 868,777 | 857,522 | +11,255 |
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SFRU6 | 825,523 | 837,543 | -12,020 |
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SFRZ6 | 916,279 | 921,614 | -5,335 |
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SFRH7 | 723,109 | 731,967 | -8,858 |
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SFRM7 | 698,360 | 711,538 | -13,178 |
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SFRU7 | 517,906 | 519,027 | -1,121 |
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SFRZ7 | 449,803 | 448,865 | +938 |
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SFRH8 | 330,845 | 332,080 | -1,235 |
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SFRM8 | 224,359 | 227,133 | -2,774 |
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SFRU8 | 200,770 | 205,451 | -4,681 |
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SFRZ8 | 203,102 | 204,347 | -1,245 |
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SFRH9 | 144,407 | 146,457 | -2,050 |
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OUTLOOK: Price Signal Summary - Bear Threat In Oil Futures Still Present
- On the commodity front, a bullish theme in Gold remains intact and the latest pullback is considered corrective - for now. Medium-term trend signals are bullish too - moving average studies are in a bull-mode position, highlighting a dominant uptrend. Resistance at $3435.6, the May 7 high, has recently been pierced. A clear break of this level would strengthen the uptrend and open $3500.1, the Apr 22 all-time high. Initial key support to monitor is $3287.7, the 50-day EMA.
- In the oil space, WTI futures maintain a softer tone following the reversal from Monday’s high. Support to watch is at the 50-day EMA, at $64.50. It has been pierced, a clear break of it would signal scope for a deeper retracement. This would expose $58.87, the May 30 low. On the upside, initial resistance to watch is $71.20, the 50.0% retracement of the Jun 23 - 24 high-low range. Key resistance is at $78.40, the Jun 23 high.
LOOK AHEAD: Wednesday Data Calendar: New Home Sales, Fed Chair Powell to Senate
- US Data/Speaker Calendar (prior, estimate)
- 06/25 0700 MBA Mortgage Applications (-2.6%, --)
- 06/25 0800 Chicago Fed Goolsbee podcast appearance
- 06/25 1000 Fed Ch Powell Semiannual Testimony to Senate
- 06/25 1000 New Home Sales (743k, 693k), MoM (10.9%, -6.7%)
- 06/25 ---- Building Permits (1.393M, 1.393M), MoM (-2.0%, 0.0%)
- 06/25 1130 US Tsy $28B 2Y FRN Note re-open & $63B 17W bill auctions
- 06/25 1300 US Tsy $70B 5Y Note (91282CNK3)
- Source: Bloomberg Finance L.P. / MNI
STIR: 20% Odds of Fed Cutting Next Month, Day Two Of Powell Testimony
- Fed Funds implied rates have softened a little further for the next two meetings but are broadly unchanged on the day for end-2025.
- Cumulative cuts from 4.33% effective: 5bp Jul, 25.5bp Sep, 41bp Oct, 60bp Dec, 69bp Jan and 82bp Mar.
- SOFR implied yields are up to 1.5bp higher on the day looking out to end-2027 contracts.
- The implied terminal yield of 3.125% (SFRZ6, -1bp) holds the week’s slide for closer to 5 rather than 4 cuts ahead, helped by a slide in oil prices and a surprisingly dovish Bowman on Monday (even if a variety of other FOMC members appear more patient).
- Today’s Fedspeak is unlikely to be as interesting as yesterday:
- 1000ET - Powell’s second day of Congressional testimonies, this time in front of the Senate committee. It follows yesterday’s House appearance where he noted many rate paths are possible although with somewhat selective headlines giving a dovish skew. As with last week’s FOMC presser, he implied that the September FOMC is the next ‘live’ meeting.
- 0800ET – Chicago Fed’s Goolsbee (’25 voter, dove) appears on a podcast. He’s already spoken this week, saying on Monday that the tariff impact hasn’t been as feared on inflation and that the Fed can cut rates if tariff inflation doesn't come. "Now we're trying to figure out is this all there is or is there about to be something showing up in the inflation data."
