STIR: Short Setting Dominated On SOFR Strip Following CPI
OI data points to meaningful net short setting across many SOFR futures following yesterday’s CPI data as markets pushed full discounting of the next Fed rate cut back to December.
- Only two very modest rounds of net long cover were seen across the front 16 contracts (SFRU6 & H8).
| 12-Feb-25 | 11-Feb-25 | Daily OI Change | Daily OI Change In Packs | ||
| SFRZ4 | 1,036,666 | 1,022,041 | +14,625 | Whites | +63,415 |
| SFRH5 | 1,209,125 | 1,192,934 | +16,191 | Reds | +87,030 |
| SFRM5 | 1,114,878 | 1,086,920 | +27,958 | Greens | +54,640 |
| SFRU5 | 822,001 | 817,360 | +4,641 | Blues | +28,266 |
| SFRZ5 | 1,013,020 | 1,002,603 | +10,417 | ||
| SFRH6 | 699,124 | 682,286 | +16,838 | ||
| SFRM6 | 713,185 | 652,168 | +61,017 | ||
| SFRU6 | 600,441 | 601,683 | -1,242 | ||
| SFRZ6 | 743,930 | 731,791 | +12,139 | ||
| SFRH7 | 483,451 | 470,945 | +12,506 | ||
| SFRM7 | 461,042 | 436,496 | +24,546 | ||
| SFRU7 | 294,956 | 289,507 | +5,449 | ||
| SFRZ7 | 328,844 | 304,234 | +24,610 | ||
| SFRH8 | 220,145 | 220,655 | -510 | ||
| SFRM8 | 189,239 | 185,686 | +3,553 | ||
| SFRU8 | 120,640 | 120,027 | +613 |
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US 10YR FUTURE TECHS: (H5) Bearish Trend Structure
- RES 4: 111-20+ High 6 and the bull trigger
- RES 3: 110-25 High Dec 12
- RES 2: 109-24+ 50-day EMA
- RES 1: 108-21+/109-06 20-day EMA / High Dec 31
- PRICE: 107-10+ @ 11:22 GMT Jan 14
- SUP 1: 107-06 Low Jan 13
- SUP 2: 107-04 Low Apr 25 ‘24 and a key support
- SUP 3: 107-00 Round number support
- SUP 4: 106-11 2.00 proj of the Oct 1 - 14 - 16 price swing
The trend condition in Treasury futures is unchanged and remains bearish. Monday’s bearish start to the week, has once again, confirmed a resumption of the downtrend. Sights are on 107-04 next, a Fibonacci projection. Note too that moving average studies remain in a bear-mode position highlighting a dominant downtrend. Key short-term resistance is seen at 108-21+, the 20-day EMA.
CHF: USDCHF Off Session Lows, Danske Comment on Positioning
USDCHF extended yesterday's late selloff this morning, printing a 0.9129 low following headlines suggesting a more gradual tariff introduction under the new US administration. However, the pair has since pared the majority of its session losses, suggesting that bullish trend indicators remain intact for the pair.
- Cycle highs were reached yesterday at 0.9201, and further upside momentum would place focus on 0.9224/44, the key medium-term targets for the pair. Support moves up to 0.9061, the 20-day EMA.
- Danske see "aggregate USD positioning still in stretched long territory", while CHF positioning moved further towards stretched short as of data up until January 7. While this may indicate potential for a deeper short-term correction, it underlines that market bets continue to look for further upside potential in the pair.
- The local data calendar remains light, placing the focus on US inflation data and Fed speakers this week for USDCHF sentiment.
LOOK AHEAD: Tuesday Data Calendar: PPI, Fed Speak, Tsy CMB Auction
- US Data/Speaker Calendar (prior, estimate)
- 14-Jan 0600 NFIB Small Business Optimism reported 105.1 vs. 101.7 prior
- 14-Jan 0830 PPI Final Demand MoM (0.4%, 0.4%), YoY (3.0%, 3.5%)
- 14-Jan 0830 PPI Ex Food and Energy MoM (0.2%, 0.3%), YoY (3.4%, 3.8%)
- 14-Jan 0830 PPI Ex Food, Energy, Trade MoM (0.1%, 0.3%), YoY (3.5%, --)
- 14-Jan 1000 KC Fed Schmid (text TBA, Q&A)
- 14-Jan 1130 US Tsy $85B 42D CMB auction
- 14-Jan 1400 Federal Budget Balance (-$366.8B, -$80.0B)
- 14-Jan 1500 NY Fed Williams open remarks (text, no Q&A)
