STIR: OI Points To Mix Of Short Setting & Long Cover In SOFR Futures On Thursday
Dec-06 11:47
OI data points to net short setting through 4 of the front 5 SOFR futures on Thursday, before long cover became more prominent further out the strip.
- Updated on Fed pricing run and STIR fundamentals to come shortly.
| 05-Dec-24 | 04-Dec-24 | Daily OI Change |
| Daily OI Change In Packs |
SFRU4 | 1,260,057 | 1,261,305 | -1,248 | Whites | +20,231 |
SFRZ4 | 1,296,257 | 1,291,934 | +4,323 | Reds | -11,489 |
SFRH5 | 1,068,155 | 1,064,629 | +3,526 | Greens | -9,781 |
SFRM5 | 986,661 | 973,031 | +13,630 | Blues | -1,323 |
SFRU5 | 805,361 | 803,336 | +2,025 |
|
|
SFRZ5 | 922,725 | 939,683 | -16,958 |
|
|
SFRH6 | 555,083 | 554,130 | +953 |
|
|
SFRM6 | 599,019 | 596,528 | +2,491 |
|
|
SFRU6 | 632,506 | 637,867 | -5,361 |
|
|
SFRZ6 | 693,141 | 693,799 | -658 |
|
|
SFRH7 | 416,715 | 418,787 | -2,072 |
|
|
SFRM7 | 352,487 | 354,177 | -1,690 |
|
|
SFRU7 | 286,526 | 288,627 | -2,101 |
|
|
SFRZ7 | 288,911 | 287,292 | +1,619 |
|
|
SFRH8 | 198,380 | 199,006 | -626 |
|
|
SFRM8 | 153,757 | 153,972 | -215 |
|
|
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
OUTLOOK: USDJPY Clears Key Resistance
Nov-06 11:36
- In FX, a sharp sell-off today in EURUSD has resulted in a clear reversal of the recent Oct 23 - Nov 5 correction. The breach of 1.0761, the Oct 23 low, confirms a resumption of the downtrend. This paves the way for an extension towards 1.0666, the Jun 26 low. Key short-term resistance has been defined at 1.0937, the Nov 5 and today’s intraday high. A clear break of this hurdle is required to highlight a potential reversal. Initial resistance is 1.0832, the Nov 1 low.
- The trend condition in GBPUSD remains bearish and today’s sharp sell-off reinforces current conditions and highlights the end of the recent corrective bounce. Sights are on key short-term support and the bear trigger at 1.2844, the Oct 31 low. A break of this level would confirm a resumption of the downtrend and open 1.2799, the Aug 15 low. Key short-term resistance has been defined at 1.3048, today’s intraday high.
- The USDJPY trend needle continues to point north and today’s gains reinforce current conditions. The pair has traded above 153.88, the Oct 28 high, to highlight a resumption of the uptrend. A continuation higher would open 155.27,a 2.00 projection of the Sep 16 - 27 - 30 price swing. Initial firm support is 150.93, the 20-day EMA. A break of this average would instead signal the start of a short-term corrective cycle.
US TSY FUTURES: BLOCK: Dec'24 10Y Buy
Nov-06 11:36
- +5,000 TYZ4 109-10.5, buy through 109-09.5 post time offer at 0619:23ET, DV01 $322,000. The 10Y contract trades 109-13.5 last.
STIR: Fed Rates Unchanged For Tomorrow But Firmly Steeper Thereafter
Nov-06 11:33
- Former President Trump being projected to win the election hasn’t altered expectations for tomorrow’s FOMC decision (24.5bp cut priced) but the steepening bias is clearly seen beyond further out.
- Cumulative cuts from 4.83% effective: 24.5bp Nov, 42bp Dec (vs 44bp yday close), 54bp Jan (59bp) and 91bp June (99bp).
- See the earlier STIR post for the clear underperformance of US rates compared to their European counterparts where trade policy implications weighs on growth prospects, along with the continued climb in US terminal rate expectations.
- A reminder of the MNI Fed Preview for tomorrow’s decision, found here: https://media.marketnews.com/Fed_Prev_Nov2024_With_Analysts_d4a81c3019.pdf
Trending Top
Jun-06 15:25
