SOFR: Net Short Setting Dominated In Futures On Tuesday
OI data points to net short setting across much of the SOFR futures strip on Tuesday, with only fairly limited rounds of net long cover in SFRU6 and and SFRH7 breaking the wider theme.
| 09-Sep-25 | 08-Sep-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRM5 | 1,226,097 | 1,225,497 | +600 | Whites | +88,268 |
SFRU5 | 1,427,566 | 1,421,657 | +5,909 | Reds | +11,973 |
SFRZ5 | 1,639,511 | 1,611,543 | +27,968 | Greens | +35,315 |
SFRH6 | 1,196,308 | 1,142,517 | +53,791 | Blues | +30,985 |
SFRM6 | 1,010,351 | 987,750 | +22,601 |
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SFRU6 | 883,230 | 892,152 | -8,922 |
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SFRZ6 | 1,004,052 | 994,559 | +9,493 |
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SFRH7 | 705,550 | 716,749 | -11,199 |
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SFRM7 | 838,559 | 831,734 | +6,825 |
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SFRU7 | 669,554 | 660,917 | +8,637 |
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SFRZ7 | 647,308 | 634,378 | +12,930 |
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SFRH8 | 440,844 | 433,921 | +6,923 |
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SFRM8 | 356,966 | 348,383 | +8,583 |
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SFRU8 | 258,028 | 252,002 | +6,026 |
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SFRZ8 | 266,934 | 258,791 | +8,143 |
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SFRH9 | 176,041 | 167,808 | +8,233 |
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BONDS: EGBs Underperform Peers
EGBs lead the pullback from session highs seen over the past couple of hours, with both Tsys & gilts outperforming Bunds on the day.
- This is presumably owing to Europe’s sensitivity to inflation linked to the Russia-Ukraine conflict, as the market takes a more sanguine outlook on the prospect for a breakthrough re: a Russia-Ukraine ceasefire.
- A related uptick from session lows in crude oil weighs on wider core global FI.
SONIA OPTIONS: SFIH6 96.70 Calls Sold
SFIH6 96.70 calls 3.5K given at 5
US TSY FUTURES: OI Data Points To Low Conviction Trade On Friday
OI data points to fairly non-committal trade during Friday’s downtick, with a slight bias towards net long cover
| 08-Aug-25 | 07-Aug-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,572,846 | 4,576,293 | -3,447 | -125,693 |
FV | 7,035,359 | 7,051,471 | -16,112 | -686,029 |
TY | 5,156,048 | 5,139,598 | +16,450 | +1,083,807 |
UXY | 2,465,513 | 2,462,510 | +3,003 | +262,652 |
US | 1,772,004 | 1,775,201 | -3,197 | -447,205 |
WN | 1,997,589 | 1,999,098 | -1,509 | -275,200 |
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| Total | -4,812 | -187,669 |
