SCANDIS: NOKSEK Testing Resistance - Carry Divergence Key
NOK outperformance versus the G10 basket has persisted through the morning, which sees NOKSEK test t...
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SOFR: Mix Of Net Short Setting & Long Cover Seen In Futures On Friday
OI data points to net short setting dominating through the greens as SOFR futures sold off on Friday, comfortably outweighing any pockets of net long cover. Net long cover then came to the fore in the blues.
| 20-Mar-26 | 19-Mar-26 | Daily OI Change |
| Daily OI Change In Packs |
SFRH6 | 1,208,051 | 1,170,316 | +37,735 | Whites | +128,684 |
SFRM6 | 1,331,776 | 1,374,068 | -42,292 | Reds | +110,741 |
SFRU6 | 1,236,174 | 1,225,939 | +10,235 | Greens | +53,935 |
SFRZ6 | 1,645,112 | 1,522,106 | +123,006 | Blues | -25,462 |
SFRH7 | 980,678 | 994,634 | -13,956 |
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SFRM7 | 1,053,157 | 996,572 | +56,585 |
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SFRU7 | 805,515 | 788,761 | +16,754 |
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SFRZ7 | 1,051,139 | 999,781 | +51,358 |
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SFRH8 | 593,618 | 553,008 | +40,610 |
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SFRM8 | 462,461 | 445,692 | +16,769 |
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SFRU8 | 384,329 | 384,351 | -22 |
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SFRZ8 | 372,312 | 375,734 | -3,422 |
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SFRH9 | 264,739 | 276,592 | -11,853 |
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SFRM9 | 198,347 | 197,053 | +1,294 |
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SFRU9 | 180,387 | 189,802 | -9,415 |
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SFRZ9 | 171,061 | 176,549 | -5,488 |
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SCANDIS: NOK and SEK Underperform As Risk Sensitivity Dominates
Scandi FX underperform the G10 basket this morning, amid continued weakness in regional equity benchmarks and a rise in the dollar index.
- Crude oil and natural gas prices are higher again this morning, but NOK’s sensitivity to risk sentiment and the global growth backdrop looks to be dominating terms of trade effects. EURNOK is up almost 1% to 11.1640, piercing resistance at the 20-day EMA (11.1615). The Norges Bank decision is on Thursday, and a hike is a plausible tail-risk (but not our or the market's base case). Our preview will be released tomorrow.
- This morning, EURSEK is up 0.6% to 10.8769. A bullish trend is intact, with key support the 11.0000 figure. Note that this resistance aligns with our estimate of current fair value using a daily model incorporating a risk proxy, nominal rate spreads and US real yields
- Despite the hawkish reaction to last week’s Riksbank decision (particularly on Friday), nominal rate differential have provided little support to SEK. Markets recognize that Sweden’s rate-sensitive economy would struggle against a backdrop of aggressive rate hikes - something the Riksbank is nonetheless prepared to deliver to limit second round effects. Focus remains on Wednesday’s Riksbank minutes and the March Economic Tendency Survey.
- SEK has been a favoured short amongst the sell-side through the war. USDSEK is up 1.3% to 9.4650. On Friday, Goldman Sachs wrote that “USD/SEK upside screens to us as one of the most effective hedges for a broad intensification of the energy shock across G10 FX, and we now recommend going tactically long with a target of 9.65 and a stop of 9.00”.
US TSY FUTURES: Meaningful Net Short Setting Across The Curve On Friday
OI data points to meaningful net short setting on Friday as the sell off in Tsy futures extended.
- Over $23.3mln DV01 of fresh net short exposure was added across the curve, with the largest adjustment coming in US futures (~$7.7mln DV01).
| 20-Mar-26 | 19-Mar-26 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,835,757 | 4,699,967 | +135,790 | +5,287,024 |
FV | 6,585,588 | 6,571,735 | +13,853 | +602,993 |
TY | 5,271,809 | 5,247,090 | +24,719 | +1,615,760 |
UXY | 2,393,716 | 2,346,542 | +47,174 | +4,187,964 |
US | 1,830,806 | 1,773,348 | +57,458 | +7,741,829 |
WN | 2,269,103 | 2,246,919 | +22,184 | +3,925,880 |
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| Total | +301,178 | +23,361,450 |
