STIR: Next Fed Cut Seen In July Ahead Of GDP/Claims and Fedspeak
* Fed Funds implied rates have continued to lift off yesterday's low seen prior to latest Trump ta...
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STIR: Net Short Cover Seen In Most SOFR Futures On Monday
OI data points to net short cover in most SOFR futures on Monday, as markets reacted to DeepSeek’s AI advances.
- Net long setting was only seemingly seen in a handful of contracts through the blues.
| 27-Jan-25 | 24-Jan-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRZ4 | 1,050,808 | 1,057,493 | -6,685 | Whites | -31,512 |
SFRH5 | 1,210,779 | 1,198,189 | +12,590 | Reds | -74,073 |
SFRM5 | 1,035,081 | 1,038,150 | -3,069 | Greens | -14,444 |
SFRU5 | 751,938 | 786,286 | -34,348 | Blues | -13,974 |
SFRZ5 | 998,779 | 1,027,153 | -28,374 |
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SFRH6 | 691,236 | 689,049 | +2,187 |
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SFRM6 | 645,904 | 672,660 | -26,756 |
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SFRU6 | 603,134 | 624,264 | -21,130 |
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SFRZ6 | 712,849 | 720,952 | -8,103 |
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SFRH7 | 481,562 | 486,186 | -4,624 |
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SFRM7 | 401,422 | 399,895 | +1,527 |
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SFRU7 | 289,288 | 292,532 | -3,244 |
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SFRZ7 | 265,401 | 277,016 | -11,615 |
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SFRH8 | 212,543 | 213,396 | -853 |
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SFRM8 | 181,731 | 183,807 | -2,076 |
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SFRU8 | 116,741 | 116,171 | +570 |
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LOOK AHEAD: Tuesday Data Calendar: Durables/Capital Goods, 7Y Auction
- US Data/Speaker Calendar (prior, estimate)
- 28-Jan 0830 Durable Goods Orders (-1.2%, 0.6%), ex-trans (-0.2%, 0.3%)
- 28-Jan 0830 Cap Goods Orders Nondef Ex Air (0.4%, 0.3%), ship (0.3%, 0.2%)
- 28-Jan 0900 FHFA House Price Index MoM (0.4%, 0.3%)
- 28-Jan 0900 S&P CoreLogic CS 20-City MoM (0.32%, 0.30%)
- 28-Jan 1000 Conf. Board Consumer Confidence (104.7, 105.9)
- 28-Jan 1000 Richmond Fed Mfg Index (-10, -10)
- 28-Jan 1030 Dallas Fed Services Activity (9.6, --)
- 28-Jan 1130 US Tsy $30B 2Y FRN, $85B 42D CMB auctions
- 28-Jan 1300 US Tsy 44B 7Y note auction (91282CMK4)
US TSY FUTURES: Net Long Setting Dominated Again On Monday
OI data points to another round of meaningful net long setting on Monday, as markets reacted to DeepSeek’s AI advances.
- Net long setting was seen in FV, TY, US & WN futures, with modest net short cover seen in both TU and UXY futures.
- The curve-wide net long setting wasn’t quite as pronounced as what was seen on Friday, totaling ~$5.2mln in DV01 equivalent terms vs. the ~$8.0mln seen on Friday.
- Over $3.0mln DV01 equivalent of fresh net longs were added in TY futures.
| 27-Jan-25 | 24-Jan-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,198,793 | 4,218,276 | -19,483 | -732,950 |
FV | 6,274,716 | 6,252,332 | +22,384 | +930,055 |
TY | 4,866,435 | 4,818,730 | +47,705 | +3,055,982 |
UXY | 2,273,537 | 2,281,049 | -7,512 | -655,873 |
US | 1,962,582 | 1,951,182 | +11,400 | +1,426,026 |
WN | 1,789,168 | 1,782,665 | +6,503 | +1,224,840 |
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| Total | +60,997 | +5,248,080 |
