STIR: OI Points To Mix Of Short Setting & Long Cover In SOFR Futures On Tuesday
Aug-07 10:31
Yesterday’s sell off in SOFR futures and OI data points to a mix of net short setting and long cover as some of the recent risk-off price action was unwound.
- Fed Funds futures now price ~105bp of cuts through the Dec FOMC vs. nearly 150bp at one point on Monday, with odds of intra-meeting Fed action fading.
| 06-Aug-24 | 05-Aug-24 | Daily OI Change | Daily OI Change In Packs | ||
| SFRM4 | 1,126,664 | 1,119,767 | +6,897 | Whites | -20,363 |
| SFRU4 | 1,098,218 | 1,113,766 | -15,548 | Reds | -2,002 |
| SFRZ4 | 1,161,913 | 1,139,551 | +22,362 | Greens | +27,721 |
| SFRH5 | 914,765 | 948,839 | -34,074 | Blues | -12,508 |
| SFRM5 | 799,895 | 806,589 | -6,694 | ||
| SFRU5 | 651,621 | 644,394 | +7,227 | ||
| SFRZ5 | 883,195 | 896,086 | -12,891 | ||
| SFRH6 | 610,973 | 600,617 | +10,356 | ||
| SFRM6 | 553,124 | 543,079 | +10,045 | ||
| SFRU6 | 523,484 | 508,180 | +15,304 | ||
| SFRZ6 | 432,597 | 425,474 | +7,123 | ||
| SFRH7 | 241,379 | 246,130 | -4,751 | ||
| SFRM7 | 253,419 | 259,068 | -5,649 | ||
| SFRU7 | 209,042 | 202,743 | +6,299 | ||
| SFRZ7 | 233,913 | 244,729 | -10,816 | ||
| SFRH8 | 146,949 | 149,291 | -2,342 |
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EURUSD: Vol Markets Reverse Downside Risk in Wake of French Results
Jul-08 10:27
- As evidenced in the recovery off opening lows for EUR/USD, markets are taking the lack of a majority in France's National Assembly in their stride. Sell-side views generally see the results as adding more uncertainty near-term, but avoiding a worst case scenario up to the 2027 Presidential vote.
- Options markets have taken note, with the front-end of the EUR/USD risk reversals curve normalizing further to touch the highest level June 10th (the session after Macron's election call).
- Vol markets now imply a 22.5% chance of EUR/USD trading below 1.0750 at end-July, well below the 40.4% implied just after Macron's snap election announcement. This also captures the next ECB rate decision on July 18th - which, while not expected to result in a rate cut, will be watched for messaging on a potential September move.
UK: Chancellor To Announce Budget Date Before End-July
Jul-08 10:21
Delivering her first speech as Chancellor, Labour's Rachel Reeves has confirmed that she will confirm the date of the incoming Labour gov'ts first autumn Budget by end-July, before the House of Commons goes on its summer recess. The chancellor did not, however, indicate when in the autumn the Budget would be delivered.
- As incoming chancellors are often wont to do, Reeves set a downbeat tone for the outlook for UK finances, rolling the pitch for the prospect of tighter gov't spending or greater tax hikes in the next budget.
- Reeves: "What I have seen in the past 72 hours has only confirmed that there is no money, [...] over the weekend, I instructed Treasury officials to provide an assessment of the state of our spending inheritance so that I can understand the full scale of the challenge. And I will present this to parliament before the summer recess.This will be separate from a budget that will be held later this year. And I will confirm the date of that budget alongside a forecast from the Office of Budget Responsibility in due course."
OUTLOOK: Price Signal Summary - S&P E-Minis Trend Needle Continues To Point North
Jul-08 10:16
- In the equity space, the trend condition in {US} S&P E-Minis is bullish and Friday’s gains reinforce this set-up. Resistance at 5430.75, the May 23 high and bull trigger, has recently been cleared. This confirmed a resumption of the primary uptrend. The move higher last week also confirmed a recent bull flag formation - a continuation signal - on the daily scale, further reinforcing bullish conditions. Sights are on 5668.00, a Fibonacci projection. Support is at 5516.51, the 20-day EMA. {EU} EUROSTOXX 50 futures traded higher last week. Attention is on resistance at 5039.84, the 61.8% retracement of the May 16 - Jun 14 sell-off. It has been pierced, a clear break of it would be a positive development and suggest scope for an extension of the bull cycle that started Jun 14. This would open 5082.32, the 76.4% retracement point. On the downside, a reversal would refocus attention on 4846.00, Apr 19 low and a key support.
