SOF 5Y - Individual Market Analysis

Signal Summary:

• The 5-Year ERIS SOFR Swap signal shows a balanced long bias in positioning as of 2026-01-20 (1). Overall conditions are "Normal" with no clear reversal risks present (1).
• Conviction Band: Medium | Interpretation Confidence: High Confidence | Internal Conflict Flag: No.

Key Dynamics:

• Speculative net positioning is +17.9% of Open Interest, balanced by hedgers at -17.9% of Open Interest (1).
• Both speculative (0.85) and hedger (-0.87) z-scores indicate moderate long bias without extreme stretch (1).
• Four-week flow is a minimal +0.6, labeled as "Long_Build", suggesting very modest accumulation (1).
• Conditional Invalidation: A sustained shift to strongly negative 4-week flow, indicating significant long unwinding, would reverse this interpretation.

Scenario Balance:

• Base Case dominant: Current balanced long bias continues given the "Normal" synthetic state and absence of immediate reversal signals (1).
• Upside secondary: Increased speculative conviction leading to stronger long accumulation and upward trend continuation. Triggered by a significant increase in 4-week flow.
• Downside residual: A notable shift towards hedger-led selling pressure or substantial speculative long unwinds. Triggered by negative 4-week flow or activated bearish reversal risk flags.

Time Horizon & Aggregation:

• Time Horizon: Tactical (weeks), as CoT data is weekly and often highlights short-to-medium term positioning and flow shifts (1).
• Aggregation Weight Hint: Medium, due to the clear but non-extreme directional bias and the absence of high-conviction reversal warnings.

Macro Relevance:

• Macro dimension informed: Liquidity, interest rate expectations, and sentiment (1).
• Cycle position: Mid-cycle, reflecting stable but not overly aggressive positioning.
• Typical interaction with other macro signals: This signal provides insight into market expectations for future interest rates and liquidity conditions, complementing broader Fed Watcher or monetary policy signals (1).

Data & References:

• 5 YEAR ERIS SOFR SWAP - CHICAGO BOARD OF TRADE data, latest observation 2026-01-20 (1).
• Key influential data points are `Spec_Net_%OI`, `Hedger_Net_%OI`, `Spec_zscore`, `Hedger_zscore`, and `Flow_4w`.
• Additional public datasets that would improve depth or reliability: CME Group's SOFR futures volume data, Federal Reserve's Senior Loan Officer Opinion Survey (SLOOS) for lending conditions.