SOFR: Net Long Setting Dominated On Thursday
OI data points to net long setting dominating as SOFR futures ticked higher on Thursday, as the post-FOMC dovish adjustment extended a little.
- Net short cover was seen in 3 of the front 4 contracts, although the net swings in those contracts was comfortably outweighed by net long setting in SFRZ5.
- Outside of the whites, net long setting was seen in 10 of the next 12 contracts.
| 11-Dec-25 | 10-Dec-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRU5 | 1,289,492 | 1,291,916 | -2,424 | Whites | +64,876 |
SFRZ5 | 1,716,715 | 1,643,590 | +73,125 | Reds | +10,178 |
SFRH6 | 1,416,963 | 1,420,444 | -3,481 | Greens | +21,949 |
SFRM6 | 1,113,577 | 1,115,921 | -2,344 | Blues | +18,902 |
SFRU6 | 1,184,561 | 1,175,510 | +9,051 |
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SFRZ6 | 1,153,289 | 1,169,878 | -16,589 |
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SFRH7 | 876,409 | 856,418 | +19,991 |
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SFRM7 | 768,556 | 770,831 | -2,275 |
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SFRU7 | 811,784 | 804,909 | +6,875 |
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SFRZ7 | 828,996 | 828,364 | +632 |
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SFRH8 | 453,293 | 444,052 | +9,241 |
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SFRM8 | 407,619 | 402,418 | +5,201 |
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SFRU8 | 384,546 | 376,896 | +7,650 |
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SFRZ8 | 327,532 | 322,261 | +5,271 |
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SFRH9 | 200,280 | 195,706 | +4,574 |
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SFRM9 | 205,034 | 203,627 | +1,407 |
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US TSY FUTURES: Net Long Setting Most Prominent After Weekly ADP
OI data points to net long setting (TU, FV, TY, US & WN) dominating more modest instances of net short cover (UXY) as Tsy futures rallied in the wake of the soft weekly ADP employment data on Tuesday.
- Still, limited net OI swings may point to low conviction given the lack of market familiarity with the weekly readings and questions surrounding crossover with official labour market data..
| 11-Nov-25 | 10-Nov-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,642,944 | 4,628,965 | +13,979 | +523,673 |
FV | 6,928,004 | 6,904,085 | +23,919 | +1,026,220 |
TY | 5,427,595 | 5,421,361 | +6,234 | +417,163 |
UXY | 2,499,406 | 2,501,417 | -2,011 | -180,794 |
US | 1,853,883 | 1,850,407 | +3,476 | +443,286 |
WN | 2,170,561 | 2,167,018 | +3,543 | +663,085 |
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| Total | +49,140 | +2,892,633 |
FED: Today’s Fedspeak Likely More Notable On Balance Sheet Discussions
Today sees six different scheduled FOMC speakers, even if we expect the main interesting comments from a traditional monetary policy angle to come Collins late on. Speaking focus instead is likely on balance sheet considerations, first with NY Fed’s Williams before NY Fed SOMA Manager Perli, seen in light of funding pressures last month as reserves have moved closer to ample.
- 0920ET – NY Fed’s Williams (voter) keynote speech at Treasury Market Conference (text only). He said on Friday that it won’t be long before reserves are ample at which point the Fed will begin gradual purchases of assets to maintain growth in liabilities. As for the rate outlook, he repeated that the natural interest rate is hard to pin down but he still thinks a low r* era is still with us.
- 1000ET – Paulson (’26) at fintech conference (text only). The topic could limit mon pol discussion although she indicated ahead of the Oct 29 FOMC decision that she’s in-line with the median FOMC voter looking for another cut in December.
- 1020ET – Gov. Waller (voter) on payments at fintech conference (no text). Again, unlikely to meaningfully touch on mon pol and he’s clearly in the camp for another cut in December.
- 1215ET – Bostic (non-voter) at Atlanta Economics Club (text + Q&A). He "eventually got behind" last month’s cut but finds it preferable to move slower when there's so little clarity.
- 1230ET – Miran (voter) in fireside chat (no text). The outright dove on the FOMC with two dissents for 50bp cuts in both Sept and Oct meetings, he continues to call for a 50bp cut next month as well.
- 1600ET – Collins (’25) at community banking conference (text only). These could be her first mon pol comments since the Oct FOMC decision, having said beforehand that perhaps another 25bp of easing might be appropriate. That of course was delivered last month which could see in a December pause camp.
- Outside of those FOMC speakers, we also note that Roberto Perli (NY Fed SOMA Manager) will give closing remarks at the Treasury Market Conference today at 1550ET, with the 20min slot allowing reasonable detail.
US 10YR FUTURE TECHS: (Z5) Support Remains Exposed
- RES 4: 114-02 High Oct 17 and the bull trigger
- RES 3: 113-29 High Oct 22
- RES 2: 113-18+ High Oct 28
- RES 1: 113-02 High Nov 5& 7 and a key near-term resistance
- PRICE: 112-29+ @ 11:15 GMT Nov 12
- SUP 1: 112-09+ Low Nov 5
- SUP 2: 112-09/06 100-dma / Low Sep 25 and a reversal trigger
- SUP 3: 112-03 Trendline support drawn from the May 22 low
- SUP 4: 111-23 50.0% retracement of the May 22 - Oct 17 bull leg
A short-term bear theme in Treasuries remains in place and recent gains still appear corrective. Attention is on the bear trigger at 112-06, the Sep 25 low, and the 100-DMA, at 112-09. A clear break of these price points would strengthen a bear theme and expose trendline support at 112-03. The trendline is drawn from the May 22 low. Resistance to watch is 113-02, the Nov 5 and 7 high. Clearance of this level would be bullish.
