OUTLOOK: Price Signal Summary - Pullback In Gold Appears Corrective
* On the commodity front, a sharp pullback in Gold yesterday appears corrective - for now. Note th...
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SOFR: Short Setting & Long Cover In Futures On Friday, No Notable Themes
OI data points to a mix of net long cover and short setting in SOFR futures on Friday, as contracts finished flat to lower.
- There wasn’t much in the way of meaningful themes to highlight, with most positioning swings proving to be fairly limited.
| 19-Sep-25 | 18-Sep-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRU5 | 1,468,061 | 1,460,339 | +7,722 | Whites | +42,602 |
SFRZ5 | 1,570,799 | 1,564,152 | +6,647 | Reds | -22,359 |
SFRH6 | 1,169,874 | 1,152,319 | +17,555 | Greens | +5,845 |
SFRM6 | 1,044,435 | 1,033,757 | +10,678 | Blues | -4,148 |
SFRU6 | 938,525 | 940,105 | -1,580 |
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SFRZ6 | 1,034,680 | 1,043,224 | -8,544 |
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SFRH7 | 743,217 | 756,465 | -13,248 |
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SFRM7 | 813,709 | 812,696 | +1,013 |
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SFRU7 | 662,156 | 657,465 | +4,691 |
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SFRZ7 | 709,833 | 708,883 | +950 |
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SFRH8 | 438,357 | 434,949 | +3,408 |
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SFRM8 | 354,151 | 357,355 | -3,204 |
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SFRU8 | 269,667 | 272,951 | -3,284 |
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SFRZ8 | 296,047 | 294,487 | +1,560 |
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SFRH9 | 186,977 | 189,131 | -2,154 |
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SFRM9 | 176,221 | 176,491 | -270 |
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SONIA OPTIONS: Put Condor Strip
SFIF6 96.45/96.35/96.25/96.05p condor with SFIG6 96.50/96.40/96.25/96.05p condor, bought the strip for 2 in 4.6k.
US TSY FUTURES: Mix Of Short Setting & Long Cover Seen Friday
OI data points to a mix of net long cover (FV, UXY, US & WN) and short setting (TU & TY) during Friday’s downtick in Tsy futures, with the curve-wide net DV01 ultimately little changed on the day.
- Net short setting in TU futures provided the most prominent move on the curve (~$2mln DV01).
| 19-Sep-25 | 18-Sep-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,549,540 | 4,499,244 | +50,296 | +2,019,481 |
FV | 6,736,872 | 6,745,323 | -8,451 | -373,445 |
TY | 5,396,507 | 5,396,323 | +184 | +12,516 |
UXY | 2,373,804 | 2,378,248 | -4,444 | -402,855 |
US | 1,820,922 | 1,826,004 | -5,082 | -719,076 |
WN | 2,014,280 | 2,018,444 | -4,164 | -771,952 |
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| Total | +28,339 | -235,332 |
