SOFR: Net Short Setting Dominated In Futures Following PPI
OI data points to net short setting dominating in SOFR futures during the hawkish repricing that came in the wake of yesterday's PPI data, comfortably outweighing any pockets of net long cover through the blues.
| 14-Aug-25 | 13-Aug-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRM5 | 1,200,338 | 1,197,179 | +3,159 | Whites | +25,352 |
SFRU5 | 1,330,689 | 1,337,336 | -6,647 | Reds | +36,903 |
SFRZ5 | 1,388,398 | 1,364,103 | +24,295 | Greens | +9,951 |
SFRH6 | 1,023,668 | 1,019,123 | +4,545 | Blues | +11,501 |
SFRM6 | 913,633 | 889,477 | +24,156 |
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SFRU6 | 891,117 | 874,073 | +17,044 |
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SFRZ6 | 1,001,320 | 1,020,537 | -19,217 |
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SFRH7 | 757,874 | 742,954 | +14,920 |
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SFRM7 | 917,732 | 921,532 | -3,800 |
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SFRU7 | 590,126 | 587,080 | +3,046 |
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SFRZ7 | 591,142 | 579,821 | +11,321 |
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SFRH8 | 344,178 | 344,794 | -616 |
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SFRM8 | 274,676 | 271,499 | +3,177 |
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SFRU8 | 206,514 | 205,294 | +1,220 |
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SFRZ8 | 234,591 | 231,188 | +3,403 |
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SFRH9 | 156,274 | 152,573 | +3,701 |
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US 10YR FUTURE TECHS: (U5) Support Has Been Breached
- RES 4: 112-15 61.8% retracement of the Apr 7 - 11 sell-off
- RES 3: 112-12+ High Jul 1 and a bull trigger
- RES 2: 111-13+/111-28 High Jul 10 / High Jul 3
- RES 1: 111-01 20-day EMA
- PRICE: 110-12+@ 11:17 BST Jul 16
- SUP 1: 110-08+ Low Jul 14
- SUP 2: 110-03 76.4% retracement of the May 22 - Jul 1 bull leg
- SUP 3: 109-28 Low Jun 6 and 11
- SUP 4: 109.25 Low May 27
Treasury futures traded lower yesterday. The contract has breached an important support at 110-17, 61.8% of the May 22 - Jul 1 bull leg. Note that price has also traded through a trendline support at 110-23+. The line is drawn from the May 22 low. This strengthens a bearish theme and a continuation would open 110-03, the 76.4% retracement. Resistance to watch is 111-13+, Jul 10 high. Initial resistance is at 111-01, the 20-day EMA.
US TSY FUTURES: Mix Of Short Setting & Long Cover Seen Tuesday
OI data points to a modest bias towards net short setting on Tuesday, as contracts sold off in the wake of the CPI data.
- The biggest net positioning swing came via short setting in TY futures, although the presence of net long cover across most of the rest of the curve (modest net short setting in TU futures being the exception) made for little net change in exposure in curve-wide DV01 terms.
| 15-Jul-25 | 14-Jul-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,356,744 | 4,353,213 | +3,531 | +132,941 |
FV | 7,025,845 | 7,037,494 | -11,649 | -498,349 |
TY | 4,890,176 | 4,843,970 | +46,206 | +3,021,244 |
UXY | 2,418,186 | 2,431,955 | -13,769 | -1,187,182 |
US | 1,796,835 | 1,798,339 | -1,504 | -204,002 |
WN | 1,961,786 | 1,966,204 | -4,418 | -789,050 |
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| Total | +18,397 | +475,601 |
LOOK AHEAD: Wednesday Data Calendar: PPI, Fed Speakers, Beige Book
- US Data/Speaker Calendar (prior, estimate)
- 07/16 0700 MBA Mortgage Applications (9.4%, --)
- 07/16 0800 Richmond Fed Barkin on forecasting data (text, Q&A)
- 07/16 0830 PPI Final Demand MoM (0.1%, 0.2%), YoY (2.6%, 2.5%)
- 07/16 0830 PPI Ex Food and Energy MoM (0.1%, 0.2%), YoY (3.0%, 2.7%)
- 07/16 0830 PPI Ex Food, Energy, Trade MoM (0.1%, 0.2%), YoY (2.7%, --)
- 07/16 0830 New York Fed Services Business Activity (-13.2, --)
- 07/16 0915 Industrial Production MoM (-0.2%, 0.1%), Cap-U (77.4%, 77.4%)
- 07/16 0915 Cleveland Fed Hammack on community development (text, no Q&A)
- 07/16 1000 Fed Gov Barr on financial regulation (text, Q&A)
- 07/16 1400 Fed Beige Book
- 07/16 1530 Atlanta Fed Bostic on Fox Business
- 07/16 1830 NY Fed Williams on economic outlook/policy (text, Q&A)
- Source: Bloomberg Finance L.P. / MNI
