STIR: Net Short Cover Dominated On SOFR Strip Following CPI
OI data points to meaningful net short cover across much of the SOFR futures strip after U.S. CPI data triggered dovish flows on Wednesday.
- SFRM5 & Z5 saw the largest net OI changes on the day, with both contracts subjected to net short cover.
| 15-Jan-25 | 14-Jan-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRZ4 | 1,079,794 | 1,081,734 | -1,940 | Whites | -58,889 |
SFRH5 | 1,189,753 | 1,200,626 | -10,873 | Reds | -53,666 |
SFRM5 | 1,033,927 | 1,075,226 | -41,299 | Greens | -25,255 |
SFRU5 | 822,981 | 827,758 | -4,777 | Blues | -4,379 |
SFRZ5 | 1,007,328 | 1,040,013 | -32,685 |
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SFRH6 | 647,667 | 653,378 | -5,711 |
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SFRM6 | 645,264 | 651,829 | -6,565 |
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SFRU6 | 617,711 | 626,416 | -8,705 |
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SFRZ6 | 716,997 | 743,636 | -26,639 |
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SFRH7 | 495,302 | 495,454 | -152 |
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SFRM7 | 403,284 | 402,650 | +634 |
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SFRU7 | 292,656 | 291,754 | +902 |
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SFRZ7 | 269,673 | 274,471 | -4,798 |
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SFRH8 | 214,793 | 214,427 | +366 |
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SFRM8 | 176,666 | 178,425 | -1,759 |
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SFRU8 | 111,503 | 109,691 | +1,812 |
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EQUITIES: Large Expiries for Friday
Looking at Option expiries on the 20th Dec in Notional terms, last two Quarters saw SPX around $2.4T, clearly some Year end flows with SPX making new record highs throughout December, this will be in focus Friday as we end the Year.
- SPX: $3.48T vs $3.31T (last Week).
- NDX: $124.13bn vs $117.66bn.
- Amazon: $14.90bn vs $12.56bn.
- Apple: $34.60bn vs $22.07bn.
- SX5E: €427.98bn vs €425.22bn.
- SX7E: €25.27bn vs €25.59bn.
- DAX: €58.36bn vs €56.74bn.
- CAC: €8.67bn vs €8.63bn.
- FTSE: £54.94bn vs £54.58bn.
OUTLOOK: Price Signal Summary - Uptrend In S&P E-Minis Remains Intact
- The S&P E-Minis contract is unchanged. The outlook remains bullish and the latest shallow pullback is considered corrective. Recent gains confirmed a resumption of the uptrend. Note that moving average studies are in a bull-mode set-up, highlighting a dominant uptrend and positive market sentiment. A resumption of the trend would open 6194.19, the 1.236 projection of the Aug 5 - Sep 3 - 9 price swing. Initial support to watch lies at 6103.12, the 20-day EMA.
- A bull cycle in the EUROSTOXX 50 futures contract remains intact and the latest pullback is - for now - considered corrective. The contract has recently breached the 50-day EMA. The clear break of this average strengthens a bullish theme and note that 4961.00, the Nov 6 high, has also been cleared. Sights are on 5015.00 next, the Oct 29 high. Initial support to watch lies at 4907.48, the 20-day EMA.
US: SOFR FIX - 17/12/24
SOFR FIX - Source BBG/CME
- 1M 4.36635 -0.00886
- 3M 4.35285 0.00147
- 6M 4.27749 0.00476
- 12M 4.17776 0.00671
