STIR: SOFR OI Indicates Mixed Positioning Swings On Wednesday
The combination of yesterday’s price action and preliminary open interest data point to SFRU3 seeing a small addition of net longs, while SFRH4 saw shorts added. Indications for SFRM3 & SFRZ3 were less definitive, given their unchanged price status on the day. Meanwhile, the reds saw a mix of long trimming, shorts added and short cover. Beyond there, the greens and blues saw a mix of long additions and short cover, with long additions dominating on a net basis across those 2 packs.
| 19-Jul-23 | 18-Jul-23 | Daily OI Change | Daily OI Change In Packs | ||
| SFRM3 | 1,117,310 | 1,112,777 | +4,533 | Whites | +15,345 |
| SFRU3 | 1,119,325 | 1,118,841 | +484 | Reds | -11,439 |
| SFRZ3 | 1,329,886 | 1,324,795 | +5,091 | Greens | +389 |
| SFRH4 | 841,784 | 836,547 | +5,237 | Blues | +5,444 |
| SFRM4 | 778,835 | 783,635 | -4,800 | ||
| SFRU4 | 741,741 | 738,751 | +2,990 | ||
| SFRZ4 | 743,843 | 749,058 | -5,215 | ||
| SFRH5 | 551,246 | 555,660 | -4,414 | ||
| SFRM5 | 455,608 | 456,958 | -1,350 | ||
| SFRU5 | 402,591 | 400,886 | +1,705 | ||
| SFRZ5 | 324,788 | 324,971 | -183 | ||
| SFRH6 | 236,129 | 235,912 | +217 | ||
| SFRM6 | 174,242 | 172,622 | +1,620 | ||
| SFRU6 | 146,148 | 146,679 | -531 | ||
| SFRZ6 | 173,737 | 172,417 | +1,320 | ||
| SFRH7 | 116,779 | 113,744 | +3,035 |
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US TSY OPTIONS: TYQ3 115.00/116.00 Call Spread
TYQ3 115.00/116.00 call spread sees paper pay 0-08 on 2.5K, delta +8%.
STIR: Fed Hike Pricing Steady In Return From Holiday, With Powell Eyed
The OIS-implied Fed rate hike path is little changed vs last week's close, with Fed terminal Funds rate pricing +0.5bp, implying around 22-23bp of hikes remaining in the cycle.
- That includes 18bp at July's meeting (~70% prob of a 25bp raise, ~30% unch), and a cumulative 22-23bp through Sep/Nov to an effective rate of 5.30%- reflecting skepticism that this cycle will see another hike. End-year implied rates sit only 4bp below current and 8bp below peak, so cuts aren't forcefully on the agenda either.
- We get a few Fed speakers today (Bullard, Williams, Barr) and more housing data (starts / permits, after Monday's strong NAHB sentiment reading).
- But the main event of the week's US calendar is Fed Chair Powell's semi-annual Congressional testimony, which starts tomorrow - later today we'll preview what to expect.
Peak Implied Fed Funds Rate % (Midpoint of range)
OUTLOOK: Price Signal Summary - S&P E-Minis Trend Needle Continues To Point North
- In the equity space, S&P E-Minis traded higher last week. This confirms a resumption of the uptrend and maintains the bullish price sequence of higher highs and higher lows, marking an extension of the bull cycle that started in October 2022. The focus is on 4494.20, the top of a bull channel drawn from the Oct 2022 low (cont). Initial support is at 4381.75, the Jun 13 low. A firmer support lies at 4332.90, the 20-day EMA. Pullbacks are considered corrective. EUROSTOXX 50 futures traded higher last week. Resistance at 4380.00, May 29 high, was cleared and key resistance at 4434.00, May 19 high, has been pierced. A clear break of this hurdle would represent an important bullish development and open 4448.00, Jan 2008 high (cont). MA studies remain in bull-mode condition highlighting an uptrend. Initial firm support to watch is 4303.00, Jun 7 low. The latest pullback is considered corrective.
