STIR: Net Short Cover In Most SOFR Futures On Tuesday
OI data points to net short cover across most SOFR futures on Tuesday.
- The major exception to the theme came via apparent net long setting in SFRH5, which provided the largest net OI swing on the day and tilted net positioning in the white pack towards long setting on the day.
- There was also a bias to net long setting in the blues.
| 25-Feb-25 | 24-Feb-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRZ4 | 1,034,485 | 1,046,175 | -11,690 | Whites | +27,975 |
SFRH5 | 1,279,288 | 1,233,395 | +45,893 | Reds | -70,897 |
SFRM5 | 1,169,403 | 1,171,651 | -2,248 | Greens | -29,153 |
SFRU5 | 855,568 | 859,548 | -3,980 | Blues | +14,815 |
SFRZ5 | 982,424 | 1,001,959 | -19,535 |
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SFRH6 | 621,038 | 624,244 | -3,206 |
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SFRM6 | 625,562 | 658,229 | -32,667 |
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SFRU6 | 559,713 | 575,202 | -15,489 |
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SFRZ6 | 789,028 | 804,621 | -15,593 |
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SFRH7 | 433,236 | 445,635 | -12,399 |
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SFRM7 | 438,038 | 438,886 | -848 |
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SFRU7 | 305,697 | 306,010 | -313 |
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SFRZ7 | 350,400 | 347,648 | +2,752 |
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SFRH8 | 224,922 | 217,898 | +7,024 |
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SFRM8 | 187,924 | 188,505 | -581 |
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SFRU8 | 132,644 | 127,024 | +5,620 |
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CROSS ASSET: Above average Volumes are going through
- Some of the largest volume and dip buying is going through here in NQH5 (Nasdaq), over 20k in the last 5 minutes.
- US Tnotes is also seeing way above average volumes with 770k lots traded, with the US just joining the session.
- US 10yr Yield is testing the 4.50% level, and next area of interest in TYH5 is at 109.28, not a Tech level but where the contract was trading at before the Hawkish December FOMC meeting.
EQUITIES: Nasdaq is finding some dip buying
Nasdaq futures is finding some demand just short of the January low of 20,694.00 for now.
(Chart source: MNI/Bloomberg).
EQUITY TECHS: E-MINI S&P: (H5) Pullback Extends
- RES 4: 6200.00 Round number resistance
- RES 3: 6178.75 High Dec 6 and key resistance
- RES 2: 6163.75 High Dec 16
- RES 1: 6105.25/6162.28 Intraday high / High Jan 24
- PRICE: 5982.75 @ 10:46 GMT Jan 27
- SUP 1: 5961.75 Low Jan 16
- SUP 2: 5943.94 61.8% retracement of the Jan 13 - 24 bull leg
- SUP 3: 5892.37 76.4% retracement of the Aug 5 - Dec 6 bull leg
- SUP 4: 5809.00 Low Jan 13 and a key support
The S&P E-Minis contract has started the week on a bearish note, extending the pullback from Friday’s high. Key short-term support to watch lies at 5961.75, the Jan 16 low. For now, the move down appears corrective, however, a breach of 5961.75 would strengthen a bearish threat and signal scope for a deeper retracement. This would open 5943.94, a Fibonacci retracement. Key resistance is unchanged at 6178.75, the Dec 6 high.
