The combination of yesterday’s richening on the SOFR strip and preliminary open interest data point to the following positioning swings on Tuesday:
- Whites: Long setting apparent on a net pack basis, with only SFRH4 seeing apparent short cover.
- Reds: Short cover appeared to dominate, although that was largely a product of a sizable OI swing in SFRU4, with little net change through the rest of the pack as apparent rounds of short cover and long setting virtually offset.
- Greens & Blues: Small rounds of apparent net short cover were seen on a pack basis, although some apparent pockets of long setting were also noted.
- A reminder that a firmer-than-expected ISM services survey (save the employment sub-index) and softer-than-expected JOLTS job openings print factored into price action on the day, as did dovish communique from the ECB. The two latter inputs outweighed the former in net terms.
- Still, pricing re: cumulative Fed cuts through ’24 failed to revisit Friday’s dovish extreme.
| 05-Dec-23 | 04-Dec-23 | Daily OI Change | Daily OI Change In Packs | ||
| SFRU3 | 1,109,362 | 1,085,809 | +23,553 | Whites | +61,750 |
| SFRZ3 | 1,511,147 | 1,466,584 | +44,563 | Reds | -95,239 |
| SFRH4 | 1,076,616 | 1,084,354 | -7,738 | Greens | -3,498 |
| SFRM4 | 1,003,129 | 1,001,757 | +1,372 | Blues | -6,530 |
| SFRU4 | 884,026 | 977,848 | -93,822 | ||
| SFRZ4 | 926,340 | 924,492 | +1,848 | ||
| SFRH5 | 544,175 | 539,599 | +4,576 | ||
| SFRM5 | 593,460 | 601,301 | -7,841 | ||
| SFRU5 | 617,972 | 626,916 | -8,944 | ||
| SFRZ5 | 560,445 | 564,011 | -3,566 | ||
| SFRH6 | 414,864 | 410,905 | +3,959 | ||
| SFRM6 | 358,858 | 353,805 | +5,053 | ||
| SFRU6 | 319,950 | 323,893 | -3,943 | ||
| SFRZ6 | 252,506 | 258,340 | -5,834 | ||
| SFRH7 | 151,092 | 150,962 | +130 | ||
| SFRM7 | 140,469 | 137,352 | +3,117 |
