Something Brewing
January 17, 2025
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–There was a large 2/10 flattener printed on block yesterday morning at 9:03ET.
-52k TUH5 102-22.625
+23k UXYH5 110-175
On the chart below, it makes sense as a profit-taking exit. I’m not much of an Elliott wave analyst, but it looks like the completion of a 5th wave up. 1st from late June to early August, 3rd from mid-August to late Sept, and 5th from early Dec to now. In any case, I checked prelim open interest and sure enough, TU fell 57k contracts. However, UXY prints UP 22k. More surprising than that, TY open interest jumped 143k contracts. It’s up 222k contracts since January 13, to 4.884 million. By the way, total SOFR OI was down 97k.
–There were no huge catalysts yesterday, though Waller said 3 to 4 eases could be appropriate this year if data cooperates. Not much reaction; SFRH5/H6 was around -24.5 when he spoke, and settled -28.5, which is more like 50/50 chance of 2 more eases over that time frame. Ten -year yield fell 5 bps to 4.602%.
–In any case, the last time we had a huge surge in open interest in TY (that wasn’t related to option expiration) was last summer. On June 21 OI was 4.33m and by August 21 it was 5.45m. Of course, there was a huge price surge related to yen-carry unwind and a weak NFP of 114k on 2-Aug. The ten-year yield went from 4.16% on July 1 to the low of 3.60% in mid-Sept. We’re now 4.60%. Is there something big going on behind the curtains?
–In SOFR there’s consistent buying of SFRZ5 call spreads. On Wednesday, Z5 9650/9700cs 8.25 paid around 40k and yesterday Z5 9637.5/9687.5cs 10-10.5 for 30k. Not really huge, but I always remember just before covid hit, someone was inhaling 50 bp wide call spreads in eurodollars. For some reason I recall as EDU0 9837.5/9887.5c spreads, but I’ll have to look it up later.
–What now? Yuan devaluation? Fed stops QT and pivots to QE? Bird flu? Vol isn’t super cheap in treasuries, but I do not want to be short it. The buyer of TY 108.5 and 109c delta neutral the last couple of days (150k) is perhaps onto something!
–News today includes Housing Starts. Half-day on screens in futures on Monday for MLK Day. Inauguration.
BOJ next week:
*MAJORITY OF BOJ BOARD MEMBERS TO FAVOR JAN. RATE HIKE: NIKKEI
Bob Uecker passed. They used to make pretty good beer commercials….
Covered call buyer adding in TY
January 16, 2025
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–Yields imploded on a slightly softer than expected Core CPI of 0.2% vs 0.3 exp and y/y 3.2% vs 3.3 expected. Curve flattened. 10y yield down 13 bps to 4.653%. 2y yield down almost 10 at 4.262%. Headline CPI yoy was 2.9% from 2.7% last. Not close to Fed’s target, but the market heaved a sigh of relief and shorts were covered.
–On the SOFR strip, greens (3rd year forward) were strongest, +16.75. Prices on red, green and blue packs (2nd, 3rd and 4th years) are still all nearly the same, just over 4%. Reds 9599.75, Greens 9590.5, Blues 9581.75. I saw a clip that Morgan Stanley is calling for an ease in March. Near contracts are underpriced if that were to occur. For example, FFG5 settled 9567.5, with just 0.5 premium to Fed Effective of 4.33. FFJ5 (April) is after the 19-March FOMC and is a clean month (no FOMC) priced at 9574.5. A cut would put Fed Eff at 4.08 or 9592. One-year calendars in SOFR declined as deferred contracts rallied harder. SFRH5/H6 settled exactly at -25; one ease over that year. (9577.5/9602.5).
–My thesis is that yesterday’s move was a short cover rally, typically associated with a decline in open interest. Indeed, SOFR OI dropped 141k in total. Main drops in M5 -41k (9590, +6.0), Z5 -32k (9602, +10.5) and Z6 -26k (9596.5. +16.0). In treasuries, TU -34k, FV +6k, US -19k, WN -3k. However, the ten-yr contract added open interest of 34k yesterday and 79k in the past two sessions. I attribute this to the big covered call buyer. On Tuesday, +100k TYH 108.5c around 28 covered ~107-10, 30 delta. So that added 30k contracts. By the way, at settle the calls were up 21/64s at 49 and the futures up just over a point, Per 1k, +10500/32s and -300*32.5/32s or -9750/32s. As of yesterday’s close, delta on 108.5c was 47.
Yesterday he continued, buying 40k 109c for 35 covered 108-09, 36 delta. So there’s another 14.4k futures. If he adjusted the hedge on the 108.5c he added around 15k short futures. TYH5 109c settle 36 vs 108-105.
Vol was down on the day with TYH5 108.5^ settling 1’45 or 6.2. Previous day atm 107.5^ was 1’51 or 6.5.
–In SOFR, notable buyer 40k SFRZ4 9650/9700cs for 8.25 (settled there ref 9602s)
–Retail Sales today expected +0.6 for Dec. Philly Fed -5.0 expected vs -16.4 last. Jobless Claims 210k. BOJ next week (hike expected).
–Beige book is old news, but sounded a bit muted. Going into the new Trump era, incentives are going to change dramatically, as evidenced by NFIB surge, Hamas/Israel deal, etc. Below from Beige Book:
Construction activity decreased overall, with several Districts indicating that high costs for materials and financing were weighing on growth. Manufacturing decreased slightly on net, and a number of Districts said manufacturers were stockpiling inventories in anticipation of higher tariffs. Residential real estate activity was unchanged on balance, as high mortgage rates continued to hold back demand.
Below is TY rolling in while, Aggregate Open Interest in blue. 100 dma in green.
Bonds remain weak going into CPI
January 15, 2025
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–Steeper curve yesterday with some large TY option trades going into today’s CPI data (more below). 2s fell 3.6 bps to 4.36% while 10s were down 1.4 to 4.784%. On the SOFR strip SFRZ5 was strongest +4 at 9591.5 (also peak price). Net changes tailed off from there. SFRZ6 +3 at 9580.5, Z7 +1.5 at 9570.
–TY option trades below. CPI expected +0.4 from 0.3 with Core 0.3 from 0.3. On yoy, 2.9 vs 2.7 and Core 3.3 from 3.3.
These figures are well above Fed targets, of course. In his last speech Waller mentioned ‘imputed’ prices, like those associated with housing, and said the trend was definitely lower if those prices are omitted. Given the loss of housing in LA, imputed prices might become more important again. Bank earnings kick off today: JPM, WFC, Citi, GS.
–PPI yesterday was lower than expected with Core m/m 0.0 vs expected 0.3 and y/y 3.5 vs 3.8. Stocks responded with an immediate knee-jerk higher (which faded) but bonds just can’t seem to get off the mat. Ultimately, TY settled 107-115, +4 and USH 110-29, +2. 30y bond yield pegged near 5%.
–Very near contracts have little fear of a pop in inflation which would cause a Fed response. For example, SFRH5 9568.75/9575 p 1×3 settled at POSITIVE (6.0/1.75 so 0.75, 1 leg over). 9575/9581.25 c 1×3 settled -6.25. 9575c settled 5.0 and the 9581.25c settled 3.75. The puts which are 5.25 otm are 1.75 and calls that are 7.25 otm are more than double that premium at 3.75.
–Huge buy on the day of 100k TYH5 108.5c for 27, 28, 29 covered 107-085, 10 and 11 (~30d). Open interest +98k in calls and 47k futures. There are some big long put positions, a lot in the 107.5 strike both Feb and March. There was a seller of 40k TYH5 106p covered 107-115/12 at 25 down to 24. Settled 25, open int in that strike fell 18k. Obviously there have been large shorts taken through puts in TY, and yesterday there were adjustments. But the covered call buying is not particularly bullish. On a hard break vol would probably move higher. On the upside, vol likely comes out but if the move is large enough gamma will help.
–Just a reminder that Chicago, and every other big city in US, can be dangerous:
Explosives found in Chicago South Side high-rise apartments HVAC worker finds “I came across some C4, some explosives, a rifle, A LOT OF FAKE IDs, a lot of fireman stuff, a lot of police force stuff, it was fake”
If neutral is lower, why are real yields going higher
January 14, 2025
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–USH5 contract made a new low 110-25. The low for the front US contract in October 2023 was 107-04. On the cash 30y bond, the high yield in October 2023 was 5.115%. I marked 4.984% at the time of futures settlement USH5 110-27. Worth noting is that the 30y inflation indexed note made a new high (real) yield of 2.603% just edging out the 2023 high of 2.582%. Chart attached. Slight new high 10y treasury/tip breakeven at 246.8 bps.
–Stocks rebounded modestly from early weakness (and follow-thru short cover rip overnight). There were a couple of large outlier trades: Buy of 50k TYG5 116.75c for cab-7. Buyer 12k SFRG5 9668.75/9700cs for 0.25. Disaster insurance; maybe the LA wildfires create focus on the unlikely. Buyer of 10k TYG 106/106.5 put stupid for 17 appears cover. Settled 18 (12 & 6).
Also a buyer of 40k SFRU5 9587.5/9606.25cs vs sell 9525p for -0.5 to +0.25. SFRU5 settled 9586.5. Great trade in my opinion though there will likely be a chance to enter better level. Option settles 26.5/20.75 and 5.5 so +0.25. Also a buyer 30k 0QH5 9606.25/96.3125c 1×2 for -0.25 to 0.0 (12.0s/6.0s). This looks good on paper…. until something really bad happens.
–Bank earnings: Wednesday JPM, WFC, C, GS and Thursday BAC, MS, USB, PNC.
Data: NFIB Small Biz Optimism expected to continue its rebound at 102.1. PPI 3.5% yoy vs 3.0 last. Core 3.8 from 3.4. CPI Wednesday 2.9 from 2.7 yoy. Then Retails Sales Thursday.
–DOGE in China? (RTRS)
Exclusive: China to cut pay by half for staff at top financial regulators, sources say
January Resolutions in Turmoil
January 13, 2025
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–January 10 was Quitter’s Day. The second Friday in January is apparently when most resolutions go out the window. If the resolution was ‘support financial assets’ then indeed, it seems to have crumbled.
–Yields soared on Friday’s blowout +256k payroll number. Curve flattened, giving back some of the steepening seen over the previous several sessions. On the treasury curve, 5s were weakest, jumping 12.7 bps in yield to 4.59%. Tens rose 8.1 to 4.772%. On the SOFR strip, reds were weakest, down 18.625 to 9583.625, greens -16.375 to 9574.88. blues -12.875 to 9569.125. Peak contract is now SFRZ5 at 9588.5, a yield of 4.115% which is less than one-quarter percent lower than the current SOFRRATE of 4.30%. I.e, not much easing being priced going forward.
–The lowest most inverted one-yr calendar is SFRH5/H6 at -12.5, up a whopping 13 bps Friday with SFRH5 down 5 to 9575 and H6 down 18 to 9587.5. In mid-September, just before the ease of 50 at the FOMC meeting, the Sept’24/Sept’25 spread was -203 bps. Of course, there was an actual reduction of 100 bps since then. (At the time, on 9/11, SFRZ4 was 9585 and SFRH25 was 9652.5.
–Starting out Monday with a lot of volatility. CLH5 up 1.25 at 77.00. On a continuous chart it’s around the high of early October, with press reports citing renewed sanctions on Russian oil. The British pound is in freefall, now 1.2124 (high at end of Sept was just over 1.34. Starmer said ready to sack Reeves). ESH5 is down 47, a new low for the move and testing early Nov low of 5796.5. Bitcoin is around 91k, a slight new low with prices appearing to have formed a head & shoulder formation which should target 74k, right at the 200 dma of 73569. SOFR contracts marginally lower, TYH5 printing a new low 107-09, down 3/32’s.
–Economic news includes the Fed’l Budget expected -$73.8b. CA wildfires will be a drain on the budget going forward, with current estimates of damage >$150b.
Luxury watch market in continuous decline, down about 15% over the past 2 years
https://watchcharts.com/watches/price_index
Do Bond Yields Continue Higher?
January 12, 2025 – Weekly Comment
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I don’t believe the payroll data. However, there’s no doubt that the US economy has been resilient. In any case, the employment report (NFP 256k) bolsters the last Fed dot plot which ratcheted up inflation estimates. (PCE price estimate for 2025 in September was 2.1%, moved up to 2.5% in December). The bar has become quite a bit higher in terms of future Fed rate cuts.
Above is a chart of global bond yields. New highs in Japan and the UK; the trend has been higher for all Western bonds.
What happened in 2018 to arrest the rise in global bond yields? (Red rectangle on chart). What I recall was a 20% drop in SPX from the start of October 2018 to the end of the year. Janet Yellen had taken tentative steps to raise the FF target from 0.25% to 1.25-1.50% by the end of her term. Powell became Chair in Feb 2018. From March to the end of September, FF (midpoint) went from 1.375% to 2.125%. Not a particularly large move, but at the same time QT was ratcheting higher. At the June 13, 2018 FOMC, the amount being shed from the Fed’s balance sheet was $40 billion per month. At the Sept 26 meeting it was increased to $50 billion. On October 3, Powell said “We may go past neutral. But we‘re a long way from neutral at this point, probably.” That was the pin. I think this time it was the December SEP.
On the below chart I highlight 2016 to the end of 2018, the initial Trump years. Just a few select data series: SPX in white, CPI in blue, FF (midpoint) target in red. A couple of things to notice: From the election in Nov 2016 to Jan 2018 SPX rallied 37%, then corrected as the euphoria from the tax package was exhaled. Powell came in with the intent to ‘normalize’ rates. QT and rate hikes at the same time. Even though stocks cratered in Q3 2018, the Fed hiked one last time in December, finally bringing FF back above CPI. Global bond yields fell for the next year. By the way, CPI high in 2018 was 2.9%, now 2.7%. PCE yoy Prices were 2.3% now 2.4%. Core PCE 2.0% now 2.8%
So what’s going on now? With PCE prices at 2.4% and FF at 4.33%, an argument can be made that we’re at neutral now, or perhaps a shade high. Inflation expectations have been moving up, for example, ten yr breakeven (Treasury minus TIP) has gone from 205 bps to 245 since the Sept FOMC. The LA wildfires are likely inflationary while adding to gov’t budget woes, and have caused massive wealth destruction. That loss of wealth will be plugged to some extent by the Federal Gov’t further pressuring debt dynamics.
From WSJ:
A Harvard Business School study found that expensive disasters in some parts of the country affect insurance rates in others, as insurers bump up premiums for homeowners in other areas to help cover big losses.
Probably didn’t need to go to Havard to figure that out.
The dollar index is making new highs (since late 2022). I would note that DXY was in rally mode in 2018 as well. For me, the question is: IF we get a significant stock market sell off, will bond yields begin to reverse lower? So far SPX has had a minor pullback of 4.3% since the early Dec high. The August pullback associated with yen-carry unwinding was 8.5%. A similar magnitude move from the Dec high of 6090 in SPX would be 517 lower, or 5575 (vs Friday’s close of 5827). A 20% decline off the December high is ~4875, which would essentially erase 2024 gains.
One other note with regard to QT. From the start of 2018 to the low in September 2019, the Fed’s balance sheet declined $680b from $4.44T to $3.76T, about 15%. Since the high in April 2022 of $8.96T it has declined to a current value of $6.85T, or $2.11T, nearly 25%. For Fibonacci enthusiasts, we’re just over a 38.2% retrace of the 2019 low to 2022 high.
The third paragraph of the last Fed Minutes addressed the timing for the end of balance sheet runoff. Currently, total bank reserves are $3.255T, more than 10% above GDP, probably at the tipping point of ‘ample’. I believe discussions to end runoff will be brought forward in a more urgent way at the Jan FOMC. Third paragraph of Dec minutes:
The manager also discussed balance sheet policy expectations. The average estimate of survey respondents for the timing of the end of balance sheet runoff shifted a bit later, to June 2025. This shift mainly reflected revisions to estimates by respondents who had expected balance sheet runoff to end in the last quarter of 2024 or in early 2025.
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On the week, the 5y yield jumped 17.8 bps to 4.59%, 10s rose 17.3 to 4.772% and 30s 14.4 to 4.963%. On the SOFR strip, SFRH5 down 6 to 9575, H6 -15 to 9587.5, H7 -22 to 9577.5 and H8 -25 to 9571. Back SOFR calendars steepened through the week but then flattened Friday with the stark realization that Fed easing could be over. On Friday the biggest loser on the SOFR strip was SFRM’26 at 9585, down 19, while SFRM’28 was only down 13.5 to 9569.5.
While the MOVE index ended the week higher, vols declined on Friday, indicating that long-end panic is subsiding. In the past few months, many heavy-weight traders warned about the long end in the US (Druckenmiller, Paul Tudor Jones, Gundlach, etc). The short bond trade isn’t necessarily ‘crowded’ but 10y yields have surged 110 bps since the Sept FOMC and 50 bp cut.
Recall it was October 2023 when Ackman spectacularly called the top in yields. From CNBC ‘Bill Ackman covers bet against Treasury, says ‘too much risk in the world’ to bet against bonds’ Key points were “…investors may increasingly buy bonds as safe haven because of growing geopolitical risks.” And “Ackman…removed the short because of concern about the economy.” Tens topped at 5% on Oct 19, and are now ¼% away at 4.76%.
Do bonds blow up due to bad budget dynamics, or become a port in the storm due to wealth destruction?
| 1/3/2025 | 1/10/2025 | chg | ||
| UST 2Y | 427.9 | 439.2 | 11.3 | |
| UST 5Y | 441.2 | 459.0 | 17.8 | |
| UST 10Y | 459.9 | 477.2 | 17.3 | |
| UST 30Y | 481.9 | 496.3 | 14.4 | |
| GERM 2Y | 216.1 | 228.4 | 12.3 | |
| GERM 10Y | 242.5 | 259.5 | 17.0 | |
| JPN 20Y | 188.2 | 195.9 | 7.7 | |
| CHINA 10Y | 162.1 | 165.3 | 3.2 | |
| SOFR H5/H6 | -21.5 | -12.5 | 9.0 | |
| SOFR H6/H7 | 3.0 | 10.0 | 7.0 | |
| SOFR H7/H8 | 3.5 | 6.5 | 3.0 | |
| EUR | 103.09 | 102.55 | -0.54 | |
| CRUDE (CLH5) | 73.21 | 75.75 | 2.54 | |
| SPX | 5942.47 | 5827.04 | -115.43 | -1.9% |
| VIX | 16.13 | 19.54 | 3.41 | |
| MOVE | 96.67 | 99.73 | 3.06 | |
Payroll Friday!
January 10, 2025
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–Payrolls today expected 165k with rate of 4.2%. LA fire damage now estimated $150B and going higher. Likely inflationary at the margin.
–On a half day there were some fairly large trades. In the long end, weighted to the downside. In SOFR there were some decent size call buyers.
[half day due to Carter’s Day of Mourning. Treasuries were closed]
The big trade was a new buyer of >50k TYG5 107.5/106.5ps for 11. Settled 12 vs 108-07.
SFRZ6 9700c 26 paid for 15k (new, settled 25.5 ref 9598)
SFRZ5 9650c 23 paid 5k (23.0s ref 9605)
SFRZ5 9625/9675cs vs 9525p 2.75 paid 8k for cs (new)
–Yields ended a bit lower with a steeper curve. Once again, new highs in deferred SOFR calendars. Reds +4.125 (9602.25), Greens +2.875 (9591.25), Blues +2.0 (9582) and Golds +1.875 (9573.25). On Wednesday I marked tens at 4.691%. This morning 4.698% ref 108-03.
–In yesterday’s note I mentioned SFRH6/H7 spread and SFRH6/H8 spread, both of which have rallied to highs since early Dec. Here’s a trade which appears profitable exit, synthetic sales of those calendars.
+0QH5 9587.5p cov 9606 34d (2x)
Vs -2QH 9587.5p cov 9597, 40d with 3QH 9587.5p cov 9587.5 50d
Ppr bought 0QH (6k) and sold 2QH and 3QH (3k each), took 10.5 credit
–Attached chart Baa yields and 30y mortgage. In late 2021 the 30y mortgage was approx 3% and Moody’s Baa Index was 3.25%. Now 30y BankRate Mortgage 7.08% and Baa is 6.14.
–Oaktree Capital, Howard Marks missive : Bubble Watch. Comprehensive and balanced warning signs. EVERYONE PANIC
https://www.oaktreecapital.com/docs/default-source/memos/on-bubble-watch.pdf?sfvrsn=ab105466_4
New high Gilt yields
January 9, 2025
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–UK assets continue to deteriorate, with 10y yield at a new high 4.83% and GBP 1.2260 (from 1.3440 three months ago). Gilt yield high was 4.75% in August of 2023.
–Estimate on BBG says LA fires could cause $57b in damage.
–US futures close at noon today in honor of President Carter.
–Waller leaned dovish. Looking for inflation to continue lower. Cites imputed prices for housing as a possible lagging indicator.
“If you look at the prices associated with the other two-thirds of core PCE, they on average increased less than 2 percent over the past 12 months through November. I don’t support ignoring our best measures of prices for housing and non-market services, but I find it notable that imputed prices, rather than observed prices, were driving inflation in 2024 and thus expectations of the policy rate path.”
- FED’S WALLER: LONG TERM YIELDS MAY HAVE MORE OF AN INFLATION PREMIUM, BUT SAYS FED WILL FIX THAT
– WALLER: U.S. DEFICITS MAY ALSO BE DRIVING LONG YIELDS HIGHER
–Not much net change in treasury yields yesterday. 10s ended at 4.691% up just under 1 bp. 30y holding above the high from last April (4.81%) current yield is 4.91%. High in October 2023 is 5.11%.
–On the SOFR strip deferred calendars continue to make new highs (curve steepening). The magnitude of moves is relatively small, but the direction is a tell. For example, SFRH6 is tied with Z5 as peak contract (price) at 9601.5. At the start of December, H6/H7 calendar was at a low of -12.5, now +9.5 (9601.5/9592). H6/H8 calendar went from -15 to +18.5 over the same time period (H8 at 9583). Another spread worth noting is 10y breakeven (10y yield minus 10y inflation-index tip). Since 2023 this spread has ranged from 250 bps to around 215, with a recent low in September of 203 (just prior to initial FOMC cut). It’s now 242.7 bps, threatening the upper end of the range. It will be hard to argue that inflation expectations are contained if this spread starts printing new highs.
–Consumer Credit isn’t a major release, but yesterday’s was an implosion. For November, Revolving Credit plunged $12.0 billion (though the month before it was +13.4b). In a broader overview, at the end of 2023 Consumer Credit (revolve and non-revolve) was $5.023.7T. As of November, it’s $5102.4T. Only eleven months, but the increase is only 1.6%. Below the inflation rate. As everyone is aware, delinquencies are growing.
This from Elliott Wave Theorist (I believe)
“According to The Council of State Gov’ts, just two state pension funds, Washington and S Dakota, are fully funded, leaving 48 states underfunded. Illinois and Kentucky are only 50% and 52% funded respectively, and that’s AFTER a long bull market. The next bear market will produce many disappointed pensioners.”
Rates higher…
January 8, 2025
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…is it due to a whiff of inflation, or borrowing to buy Greenland?
–Data stronger than expected Tuesday with ISM Services 54.1 vs expected 53.5. Prices Paid were 64.4, highest in the past two years. JOLTS continued to rebound, up to 8098k. Treasuries were inspired to make new lows (price). High 30y yield 4.92%, new high since 5.115% in October 2023. Tens fell just short of 4.70%; high in April of last year was 4.706% according to BBG. The high in Oct 2023 was 4.992. At that time, the front TY contract was in 105 handle. 10/19/23 low of 105-10+. (There has been a good size buyer, 100k, TYH 106 puts recently).
–Key reversal by NVDA. New all-time high in the morning 153.13. Outside range day on solid volume; large range ($13) and closed on the low, 140.14. NVDA is the only one out of Mag7 to have posted an all-time-high (META is close). Last domino?
–Today’s news includes ADP expected 139k, Jobless Claims 215k. 30 year auction. Later in the day FOMC minutes and Consumer Credit.
More than 0DTE options, more than unlimited leveraged ETFs, and more than the GameStop saga, Fartcoin has become the financial asset manifestation of exactly what our market has become: Arkham Asylum, bursting at the seams with lunatics laughing like unhinged hyenas and unproductive assets chased by unsophisticated investors who, through the miracle of legalized sports betting, Robinhood, and “working from home”, have developed into full-on gambling addicts.
https://quoththeraven.substack.com/p/behold-the-era-of-fartcoins-majesty
Price action in rate futures remains bearish
January 7, 2025
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–30y bond exceeded last year’s high yield, printing 4.86% yesterday. marked at 4.835% at futures close (USH5 113-04s). In tens there was an early buyer of 50k TYH5 106p for 14, adding. Settled 15 vs 108-17. Open interest now 108k. The 106 strike is approximately 5% yield. Today tens are auctioned, followed by 30s tomorrow. New high in 2/10 at 34.2. On the SOFR strip, SFRZ5 was unch’d at 9602 and it’s now the peak contract price (along with H6 at 9602). From there, net changes were successively lower: Z6 -3.0 at 9597.5, Z7 -5.0 at 9592.0, Z8 -6.0 at 9586.5. Price action in interest rate contracts remains bearish.
–Today’s news includes Trade balance, JOLTS expected 7745k and ISM Services, expected 53.5 from 52.1.
