SOFR: Net Long Setting In Whites Most Prominent On Thursday
OI data suggests that net long setting in SFRU5 & Z5 provided the most meaningful positioning swings on the strip on Thursday, with net short setting then seen in SFRH6 as the strip twist steepened.
- Net short setting provided the dominant positioning impetus in the reds, greens and blues, although instances of net long cover were noted in each of those packs.
| 10-Jul-25 | 09-Jul-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRM5 | 1,298,517 | 1,299,336 | -819 | Whites | +75,202 |
SFRU5 | 1,226,012 | 1,192,240 | +33,772 | Reds | +7,809 |
SFRZ5 | 1,328,619 | 1,293,174 | +35,445 | Greens | +255 |
SFRH6 | 998,093 | 991,289 | +6,804 | Blues | +2,399 |
SFRM6 | 840,276 | 835,852 | +4,424 |
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SFRU6 | 832,555 | 831,330 | +1,225 |
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SFRZ6 | 892,739 | 886,344 | +6,395 |
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SFRH7 | 715,565 | 719,800 | -4,235 |
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SFRM7 | 671,858 | 671,348 | +510 |
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SFRU7 | 474,051 | 471,017 | +3,034 |
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SFRZ7 | 418,417 | 418,566 | -149 |
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SFRH8 | 313,831 | 316,971 | -3,140 |
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SFRM8 | 230,934 | 232,456 | -1,522 |
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SFRU8 | 204,691 | 200,893 | +3,798 |
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SFRZ8 | 201,476 | 201,583 | -107 |
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SFRH9 | 141,148 | 140,918 | +230 |
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EURIBOR OPTIONS: Call Spread, Spread
ERH6/0RH6 98.375/98.625cs spread, bought the front for half in 20k.
LOOK AHEAD: Wednesday Data Calendar: CPI, Tsy 10Y Auction Re-Open
- US Data/Speaker Calendar (prior, estimate)
- 11-Jun 0700 MBA Mortgage Applications (-3.9%, --)
- 11-Jun 0830 CPI MoM (0.2%, 0.2%), YoY (2.3%, 2.4%)
- 11-Jun 0830 CPI Ex Food and Energy MoM (0.2%, 0.3%), YoY (2.8%, 2.9%)
- 11-Jun 0830 CPI Index NSA (320.795, 321.732)
- 11-Jun 0830 CPI Core Index SA (326.430, 327.319)
- 11-Jun 0830 Real Avg Hourly Earning YoY (1.5% rev, --)
- 11-Jun 0830 Real Avg Weekly Earnings YoY (1.8% rev, --)
- 11-Jun 1130 US Tsy $60B 17W bill auction
- 11-Jun 1300 US Tsy $39B 10Y Note re-open (91282CNC1)
- 11-Jun 1400 Federal Budget Balance ($258.4B, -$314.0B)
- Source: Bloomberg Finance L.P. / MNI
STIR: Short Setting Dominated In Front Of SOFR Strip On Tuesday
OI data suggests that net short setting dominated through the SOFR reds on Tuesday (5/8 contracts in that area saw relatively heavy net shorts added), before a mix of net long setting and short cover came to the fore in SSFRZ7 through SFRZ8
| 10-Jun-25 | 09-Jun-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRH5 | 1,067,243 | 1,068,096 | -853 | Whites | +27,563 |
SFRM5 | 1,432,476 | 1,431,730 | +746 | Reds | +117,169 |
SFRU5 | 1,169,347 | 1,153,856 | +15,491 | Greens | -3,970 |
SFRZ5 | 1,144,414 | 1,132,235 | +12,179 | Blues | +1,014 |
SFRH6 | 914,573 | 867,533 | +47,040 |
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SFRM6 | 862,434 | 827,191 | +35,243 |
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SFRU6 | 787,983 | 750,132 | +37,851 |
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SFRZ6 | 861,686 | 864,651 | -2,965 |
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SFRH7 | 660,039 | 676,524 | -16,485 |
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SFRM7 | 600,624 | 590,189 | +10,435 |
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SFRU7 | 426,208 | 422,239 | +3,969 |
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SFRZ7 | 404,689 | 406,578 | -1,889 |
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SFRH8 | 305,079 | 302,377 | +2,702 |
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SFRM8 | 218,742 | 219,274 | -532 |
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SFRU8 | 169,586 | 168,860 | +726 |
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SFRZ8 | 169,072 | 170,954 | -1,882 |
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