OI data suggests that net long setting dominated in most SOFR futures for a second consecutive day on Thursday, with mixed impetus from data releases and wider focus on today’s NFP release. Instances of net short cover were fairly isolated.
| 04-Sep-25 | 03-Sep-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRM5 | 1,164,180 | 1,163,886 | +294 | Whites | +16,273 |
SFRU5 | 1,397,068 | 1,416,701 | -19,633 | Reds | +44,959 |
SFRZ5 | 1,595,252 | 1,559,948 | +35,304 | Greens | +12,367 |
SFRH6 | 1,134,011 | 1,133,703 | +308 | Blues | +21,269 |
SFRM6 | 958,654 | 936,986 | +21,668 |
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SFRU6 | 900,581 | 895,798 | +4,783 |
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SFRZ6 | 998,250 | 975,778 | +22,472 |
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SFRH7 | 723,017 | 726,981 | -3,964 |
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SFRM7 | 811,235 | 810,440 | +795 |
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SFRU7 | 651,361 | 640,704 | +10,657 |
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SFRZ7 | 641,426 | 641,796 | -370 |
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SFRH8 | 419,141 | 417,856 | +1,285 |
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SFRM8 | 338,339 | 333,277 | +5,062 |
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SFRU8 | 231,165 | 223,823 | +7,342 |
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SFRZ8 | 253,648 | 245,408 | +8,240 |
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SFRH9 | 164,928 | 164,303 | +625 |
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Goldman Sachs write “the shift in Fed cut pricing has compressed the gap between the market and our economists' expected Fed path. Despite the abruptness of last Friday's rally, we think risk/reward favours remaining long the front end in the U.S.. The timing and pace of any policy adjustment are key to dictating the curve shape, with the sustained outperformance of 5s at risk in the event of more rapid cuts”.
