OI data suggests that net long setting dominated through the blue pack of the SOFR futures strip as contracts rallied on Tuesday, with only fairly limited rounds of net short cover seen.
| 30-Sep-25 | 29-Sep-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRU5 | 1,434,715 | 1,436,478 | -1,763 | Whites | +24,410 |
SFRZ5 | 1,486,770 | 1,481,845 | +4,925 | Reds | +19,326 |
SFRH6 | 1,184,903 | 1,178,018 | +6,885 | Greens | +12,007 |
SFRM6 | 1,030,118 | 1,015,755 | +14,363 | Blues | +510 |
SFRU6 | 941,016 | 924,107 | +16,909 |
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SFRZ6 | 1,023,265 | 1,034,952 | -11,687 |
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SFRH7 | 777,640 | 767,774 | +9,866 |
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SFRM7 | 781,775 | 777,537 | +4,238 |
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SFRU7 | 679,305 | 672,566 | +6,739 |
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SFRZ7 | 734,732 | 723,765 | +10,967 |
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SFRH8 | 414,198 | 416,385 | -2,187 |
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SFRM8 | 355,013 | 358,525 | -3,512 |
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SFRU8 | 284,370 | 278,252 | +6,118 |
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SFRZ8 | 299,666 | 300,676 | -1,010 |
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SFRH9 | 189,417 | 189,408 | +9 |
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SFRM9 | 172,129 | 176,736 | -4,607 |
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The Eurozone unemployment rate printed at 6.2% in July as expected, a joint series low, but revisions have again altered recent trends. The data have quite often been revised and June saw a fairly typical 0.1pp upward revision to 6.3%, although the +0.2pp to 6.4% in May was more surprising. It leaves a trend of recent improvement but with question marks over the data.

The trend outlook in Treasury futures remains bullish. Last week’s gains delivered a print above 112-15+, the Aug 5 high and a bull trigger. A clear break of this hurdle confirms a resumption of the bull cycle and paves the way for a climb towards the 113-00 handle. Moving average studies are in a bull-mode position, reinforcing current trend conditions. First support to watch is 111-31, the 20-day EMA.