Changes

October 17, 2024

******************
–Retail Sales today expected 0.3 from 0.1, ex-auto and gas +0.3 from 0.2.  Jobless Claims 260k, Ind Production -0.1 from +0.8.  Philly Fed 3.0 from 1.7.

–As attached chart shows, new recent low yesterday in SFRH5/H6 at -61.5 (9608.5/9670). SFRU4/U5 is -134 (U4 continues to trade) and Z4/Z5 is -99 (9655.5/9665.5) so the roll suggests H5/H6 can continue to slide, IF nothing happens to suggest a renewed shift to aggressive easing.  Of course, there’s another way the spread could rally and that’s if the back contracts sell off hard on the idea that the Fed may no longer be in an ‘easing cycle’ on a change in US administration.  Druckenmiller says markets are convinced of a Trump win.  Would likely change the perceived trajectory of easing.  Not quite sure why treasury vol would be seeping out, but it did. TYZ4 112.5^ now 2’04 from 2’10 Tuesday.

–ECB today with a cut of 25 expected.

–Precious metals near ath.  CLX anchored around 70. GCZ4 settled 2691.30.  High settle has been 2694.90 on Sept 26.     

Round trips

October 16, 2024
*******************
–The Columbus round-trip: On Monday ESZ4 sailed, with a range of 5850.0 to 5918.50, settling 5908.25, +48.50.  Tuesday’s range was almost exactly the same in reverse, testing the high early at 5915.50, with a low of 5850.0 and settle of 5962.75, -45.50.  Weakness in semis was sparked by a 4-letter stock ASML, on a forecast of reduced sales.  Today LVMH, another 4-letter acronym, is carrying the torch, as the luxury goods company, “…unexpectedly reported lower sales in the third quarter, primarily due to the pullback in Chinese luxury demand.  It reported organic revenue of -3%, missing the BBG consensus of +0.39%”  (ZH)

–Curve was flatter in the wake of Waller’s speech on Monday where he tamped down on the speed of rate reductions from the current “restrictive level”. Slight new recent low settle in SFRH5/SFRH6 at -60 (9607.5/9667.5).  FFX4 is gravitating to a cut of 25.  On Monday the contract settled 9533.0, but as stocks sold off, it popped up to 36.5 bid before settling at 9536.  On a 25 bp cut at the Nov 7 FOMC (with a new EFFR of 4.58%) the contract should settle at 9536.2.

 –Saw an interesting line from FFTT (Luke Gromen).  “Incredibly, the Cayman Islands (pop 68k) is now the 5th biggest US foreign creditor in the world.”

[due to basis/ repo trades by hedge funds] 
Misty echo of Bill Clinton’s famous quote in response to his economic team: “You mean to tell me that the success of my program and my re-election hinges on the Federal Reserve and a bunch of fucking bond traders?”  [we might add today, “..and the robustness of the repo market”]

Here’s a link:

https://www.nbcnews.com/id/wbna8064271

The article adds: “The president-elect’s outburst captured an essential truth that he had not yet seized upon. The consuming task of his presidency would be to staunch a flow of budgetary red ink that had grown to some $290 billion a year.”  

–I would note that Clinton was the only president to have ultimately run a budget surplus with an estimated surplus of $220b in FY2000. “…on track to pay off the entire debt by 2012.”  Sort of fun to reminisce given today’s MONTHLY expected deficit of $61 to $70 billion.  

Waller’s gone soft

October 15, 2024
******************
–Waller’s speech yesterday pretty much describes no landing or a soft landing.  Job market coming into better balance.  Wage growth decent. but perhaps not inflationary with productivity growth as an offset.  Summary:

With the labor market in rough balance, employment near its maximum level, and inflation generally running close to our target over the past several months, I want to do what I can as a policymaker to keep the economy on this path. For me, the central question is how much and how fast to reduce the target for the federal funds rate, which I believe is currently set at a restrictive level. 

On the next employment report:

I will be looking for more evidence to support this outlook in the weeks and months to come. But, unfortunately, it won’t be easy to interpret the October jobs report to be released just before the next FOMC meeting. This report will most likely show a significant but temporary loss of jobs from the two recent hurricanes and the strike at Boeing. I expect these factors may reduce employment growth by more than 100,000 this month, and there may be a small effect on the unemployment rate, but I’m not sure it will be that visible. Since the jobs report will come during the usual blackout period for policymakers commenting on the economy, you won’t have any of us trying to put this low reading into perspective, though I hope others will.

Finally:

I view the totality of the data as saying monetary policy should proceed with more caution on the pace of rate cuts than was needed at the September meeting.

https://www.federalreserve.gov/newsevents/speech/waller20241014a.htm

–On Oct 10 CLX settled 75.85.  This morning it’s nearing $70 bbl given headlines like this:

Netanyahu Vows He Won’t Strike Iranian Oil Or Nuclear Targets

–After trading as low yesterday morning at 119-14 (on light volume) USZ is up nearly a point this morning from yesterday’s settle of 119-25; currently 120-23.

–Here’s a snippet from the Cass Freight report. Perhaps a bit more downbeat than Waller:
Thanks to the rising spot market, truckload linehaul rates (a mix of contract and spot) saw a change in direction in September after four straight monthly declines. We saw a 0.3% m/m increase in this index. Compared to last year, linehaul rates are down more than 3%. Shipment volumes as measured by the Cass Freight Index fell 1.7% from August, after a 1.0% increase in August, and were down 5.2% y/y.

Yesterday I saw someone mention that Financial Conditions are easier now than they were before the Fed started hiking.  Clearly stocks have exploded, but I have included other factors:

Dudley’s FINANCIAL CONDITIONS

For what it’s worth.  Financial conditions are generally tighter now with respect to start of the hike cycle
However, long-end yields are well off their highs.
DXY marginally tighter.  Again, well off highs
Stocks and BBB spread looser, but CCC marginally tighter

First hike March 16, 2022

1) Short rates.
Front SOFR contract
End 2021      9973 or 27 bps
End Mar’22  9866 or 1.34%
Now              9565 or 4.35%
tighter

1-yr t-bill
End 2021     38 bps
End Mar’22 1.61%
Oct’23 high  5.50%
Now              4.19%
tighter

2) Long rates
GT10 / 10y treasury
End 2021    1.51%

End Mar’22 2.35%
Oct’23 high 4.99%
Now              4.10%
tighter

GT30
End 2021    1.90%

End Mar’22 2.48%
Oct’23 high 5.11%
Now              4.41%
tighter

3) Value of USD
DXY
End 2021      95.67

End Mar’22  98.40
Sept’22 high 114.10
Now               103.19
tighter

4) Equities
SPX
End 2021      4779

End Mar’22  4631

Now HIGH   5815
looser

5) Corp spreads
BBB/Baa spread

End 2021       121 bps

End Mar’22   157 bps
Oct ’22 high   228 bps
Now                112 bps
looser

CCC & lower spread

End 2021       678 bps

End Mar’22   729 bps
Sept’22 high  1281 bps
Now                790 bps

tighter

Just add that interest payment to principal. We good with that?

October 14, 2024
******************
–Yields eased Friday led by front end.  2y down 5 to 3.94. 10y down 2.3 to 4.07 and 30s down just 1.2 to 4.38 as sentiment shifts on the long-end.  Similar with SOFR curve: reds +6.75, greens +4.5, blues +2.375 and golds only +1.5.  I marked 10 year breakeven at 233.3 bps, a new recent high; inflation expectations are edging higher.

–FFX4 settled 9534.5.  25 bp cut at the Nov 7 meeting should be 9536.2 and 50 bp cut 9555.3.  Meeting is Nov 7.  Seven days of a 30 day month is 0.2333, so a 25 bp ease will only be worth 0.7666* 25 for the contract.  3-month SOFR compounds daily but FF contracts are a simple average of EFFR over the contract month.

–2007/8 GFC was about the household sector and mortgage/housing overextension.  Now it’s the same dynamic with the US gov’t.  However, FT runs this headline: Corporate Debts mount as credit funds let borrowers defer payments.  “Use of payment-in-kind loan terms is growing as companies struggle with heavy leverage and high interest rates.” 

PIK typically used by private creditors.  Why does the futures market work?  Because contracts are marked to market and cash flows transfer EVERY day.  PIK is on the other end of the spectrum and can lead to cascading credit problems.  As I personally know from Refco, calling an unpaid debt (which will never be paid) an “asset” can backfire.  There’s been a lot of talk about borrowers having “termed out” debts.  For homeowners with 30y mortgages it’s true.  But for corporates, that window is now about 4 years ago.  The five year roll is coming up.  I’m guessing that’s part of the urgency for the Fed to lower rates.  Risk a little inflation or watch already increasing bankruptcies surge?  I’ll take door number 2, Bob.  

Really Awesome

October 13, 2024 -Weekly comment
**************************************

One of Bloomberg’s top headlines on its website Sunday is:
Retail Traders Embrace Market Turbulence With Bets on Volatility

Here’s a quote:

“We’re starting to get into unprecedented territory here,” says Akshay Aravindan, a 25-year-old software engineer at Microsoft who trades early in the morning before work starts. “This market is going to be really awesome to adjust your positions based on how intense vol gets.”

This article is about VIX and related ETFs.  But I’m right with Akshay.  Things are about to get “really awesome” though I might not exactly phrase it that way. 

With all the new technology and AI out there, I still feel the way you really LEARN about something is by making your OWN mistakes.  As Elle King sings in ‘The Let Go’, “…expensive lessons are always the best to know.”

Anyway, I worked on the CME floor ages ago for Chase.  Our desk had an error, only discovered the next day.  We had traded the wrong contract, something like Red Dec vs Green Dec Eurodollars.  The strip at the time didn’t go past greens.  In those days, it wasn’t all that uncommon to realize a problem the next day; after phone tapes had been checked, physical tickets pulled, see what cleared.  No 24 hour trading; you got out next day.  Of course, that morning the calendar spread was against us.  It was my job to exit.  So I figured I would leg out of it. Brilliant.  Sold out the near contract in a weak market and hoped to buy the deferred contract cheaper.  You all know what happened next.  I chased the back contract up by more than a few basis points to close out.  Then, I had to go upstairs and confess the larger than expected loss at the end of the day.  The spread had moved such, even before I pulled the trigger on the first leg, that the near contract was printing down on the day and the deferred was positive.  I explained that I hadn’t seen that before.  Led to one of my rules: “Always leg from the illiquid side first.” (You were probably thinking: “Hit the bid in the SPREAD.”  That’s a good one too).

I’m not mentioning this story in relation to VIX, but more as a cautionary tale with respect to interest rate and curve volatility, which I think will catch a lot of traders offsides in the upcoming several months. My themes are 1) trim position size because there are likely to be “really awesome” i.e. random moves. 2) even after the flattening post-employment and hints of a slow-play ease cycle, the curve is likely to steepen.   

Below is the MOVE index.  After Druckenmiller said he is modestly short bonds due to the fiscal situation, I thought I should post a vol chart on US, but then concluded that things could easily go haywire across the entire curve.  The MOVE looks elevated, but I think there is more to come. If I recall correctly, Harley Bassman’s (MOVE inventor) loose rule is to buy at 80, sell at 120.  This calendar year that’s pretty much been the range.  I think risk is to the upside. [if I recall correctly, MOVE is weighted 40% 2yr and 20% each, 5, 10 and 30yr]

The next chart I featured last week and put out related posts on Linked-In and X.  I thought the long-bond would probably chop around the midpoint of this calendar year’s range (4.37%).  At futures settle on Friday I marked it at 4.38%, but the chart shows a higher yield of 4.41.  (And YZ, you’ll notice that I DID include your suggested trendline that has now been broken!) 

Though I favor higher long-bond yields, this isn’t so much about direction, but rather movement.  Bill Fleckenstein was interviewed on the Thoughtful Money podcast and echoed Druckenmiller, saying that the relatively sharp yield increase of 50 bps in tens and bonds since the 50 bp cut at the FOMC meeting is a possible signal of a revolt.  Again, he was tentative in terms of timing, but it feels to me as if sentiment has changed.   

The final chart below is a SOFR calendar spread, SFRZ6/Z7.  There’s nothing particularly compelling about this specific spread, but on my summary of weekly changes (shown at bottom) I always mark the first three one-year SOFR calendars.  Note that Z4/Z5 was DOWN 6.5 bps from -90 to -96.5 (continued weakness in Z4 as easing projections are pared back).  Z5/Z6 was DOWN 6 from +4.0 to -2.0.  But Z6/Z7 was +3.5 from 4.5 to +8.0.  Contracts from Z7 back are successively weaker.  It’s another possible clue that market participants aren’t anxious to own longer dated paper, perhaps due to inflation concerns, but also due to fiscal irresponsibility.

Last week I highlighted the front-end puke, as stronger than expected payrolls caused reassessment of easing speed.  That continued to some degree over the past week as Fed officials tamped down on easing hopes.  However, despite tempered rate-cut prospects, 2/10 rallied last week (same dynamic as Z6/Z7) from 5.3 to 13.3 bps.  We’ve entered an environment where specific parts of the curve respond to different macro concerns. 

I’ve always liked the “Gotta hunch? Bet a bunch!” slogan.  But going into the election, it’s probably best to keep risk close to home.

	10/4/2024	10/11/2024	chg
UST 2Y	392.8	393.9	1.1
UST 5Y	381.3	387.7	6.4
UST 10Y	397.7	407.1	9.4
UST 30Y	426.8	438.1	11.3
GERM 2Y	220.3	223.5	3.2
GERM 10Y	221.0	226.5	5.5
JPN 20Y	165.6	173.4	7.8
CHINA 10Y	221.0	214.7	-6.3
SOFR Z4/Z5	-90.0	-96.5	-6.5
SOFR Z5/Z6	4.0	-2.0	-6.0
SOFR Z6/Z7	4.5	8.0	3.5
EUR	109.77	109.52	-0.25
CRUDE (CLX4)	74.38	75.56	1.18
SPX	5751.07	5815.03	63.96	1.1%
VIX	19.21	20.46	1.25

Closing out the week

October 11, 2024
*******************
–You’re not going to find this interesting, but I’m throwing it out there anyway.  On Wednesday, SFRZ5 settled 9655.  The October midcurve 9556.25^ settled 15.25 with two days to go (expires today).  Pumped up, because of Milton and the CPI data, both of which came and went by yesterday afternoon.  SFRZ5 settled up just 1.5 at 9656.5 yesterday, and the Oct midcurve straddle lost over half its value, settling at 7.25.  The call settled 3.75 and the put at 3.5.  Riveting tale right?  But it’s not over! SFRZ5 rallied post-settle to 9661.0.  So the call that settled 3.75 was in the money by 4.75. Not sure what sparked the post-settle rally; settles vs late prices are as follow: Z4 9565.5s, up to 68.  Z5 9656.5s to 61, Z6 9660.5s to 64 and TYZ4 112-025s to 08.

–Vol was sucked out of the Nov treasury options as well of course.  TYX4 112^ settled 1’07 Wednesday against 112-065, but just 0’61 yesterday vs 112-025.  Nov expires one week from today.  TYZ 112^ went from 2’17 to 2’13.  

–Nothing particularly surprising about premium evaporation after large events, but underlying price movements still seem random.  Of course, Atlanta Fed’s Bostic comment just before the 30yr auction sparked selling: 
I’M OPEN TO NOT MOVING AT ONE OF THE LAST TWO MEETINGS IF THE DATA COMES IN AS I EXPECT -WSJ 

But the auction was well received with USZ4 trading near the low of the day just above 120-00, and settled 120-06.  This morning Goolsbee speaks as a counterweight to Bostic.  PPI also being released, expected 0.1 m/m with Core 0.2, vs 0.2 and 0.3 last.  Michigan expectations as well. 

–Put buyers on SFRZ4 (both Nov and Dec) did well on this sell-off.  For example, a few weeks ago there was a buyer of 80k or more SFRX4 9562.5/9550ps for 0.5.  Settled yesterday at 3.5 (6.0/2.5).  They’re going back to the well (though at less advantageous entry) buying over 30k SFRF5 9575/9562.5ps for 2.5 to 2.75, settled 7.25, 4.5 ref SFRH5 9604.5.  

–It seems as if the idea of fiscal austerity is creeping in… I think (forced) austerity will be a 2025 theme in the US.

From MNI:

-Gilts Risk Buyer Strike If Borrowing Surges, Citi Economist Says…UK 10-Year Real Yields Headed for 11-Month High…gilts risk a “buyers’ strike” if fiscal rules are relaxed too far to borrow tens of billions for investment…IFS says Reeves has to raise taxes by £25b at the budget Spending has to increase by £30b to avoid austerity

(see also George Austin of PricingMonkey  https://www.linkedin.com/posts/george-austin-a9725b72_uk-giltsthere-has-been-much-talk-in-the-activity-7249390365022052352-Y1z1?utm_source=share&utm_medium=member_desktop

For more on inflation see Michael Ashton’s summary (snippet below on college tuition, emphasis added).

But it wasn’t just transportation goods and services, either. This is the time of year when the jump in college tuitions happens. And it looks like the jump in tuitions this year is the largest since 2018. The seasonally-adjusted numbers will smooth this out, but that means tuition is going to be adding a little more over the next 12 months than it added over the last 12 months.
This is also somewhat surprising. Normally, when asset markets are going gangbusters we tend to see smaller increases in tuition because endowments are doing well and the financial model for colleges is basically (exogenous cost increases we don’t really try to control, minus endowment contributions or federal support, divided by number of students). If markets are doing well and college tuitions are still accelerating, it implies an increase in costs. My guess is that insurance is part of that, but so will be teachers’ salaries. Provision of education is ‘labor intensive,’ and wages continue to refuse to slip back down to the old levels. 

https://inflationguy.blog/2024/10/10/inflation-guys-cpi-summary-september-2024/

CPI might be lower, but inflation expectations edging up

October 10, 2024
******************
–CPI today expected 0.1 with Core 0.2.  On yoy basis, 2.3 expected from 2.5 last with Core 3.2, same as last.
I would note that the ten-yr breakeven (treasury – tip) rose to 229.5.  Exactly one month ago on 10-Sept it hit the cycle low at 202.8.  Those that believe the Fed made an error with the 50 bp cut can point to evidence of increased inflation expectations. 

FOMC minutes, only 1 dissenter, but some favored only 25:
“A few participants also added that a 25 basis point move could signal a more predictable path of policy normalization. A few participants remarked that the overall path of policy normalization, rather than the specific amount of initial easing at this meeting, would be more important in determining the degree of policy restriction.” 

–Yields rose yesterday with fives the weakest, +4 bps to 3.904%.  2s, 10s and 30s all have a 4 handle; 30s were up 1.4 bps at futures settle at 4.065% in front of today’s auction.  However, USZ continued to press lower after the settle of 120-25, printing as low as 120-14 early this morning, and now at 120-19.  Implied vol was firmer across the board on demand for TY puts.  For example, new buyer of about 30k each TYZ4 106p for 3 and 105p for 2 (settled 4 and 3).  

–Vol bid isn’t surprising on weaker prices and uncertainty related to inflation and Milton.  October SOFR midcurves expire Friday.  0QV4 9656.25^ settled 15.25 ref 9655 in SFRZ5.  Hefty premium for a 2 day straddle.  TYX4 atm 112.25^ settled 1’07 yesterday with 16 days left.  That’s 16.5 to 17 bps.

Calm before the storm

October 9, 2024
*****************
–Little change in rates Tuesday as selling pressure related to NFP abated.  SFRH5 settled 9609, +3.0, the strongest contract on the strip.  Every contract on the SOFR strip from SFRZ5 to SFRZ7 is between 9660 and 9666.  In fact, Z5 is 9660 and Z7 is 9661, a spread of just -1.  On June 26 this spread was -35.5 (9599/9634.5).  Three months later on Sept 25 the spread hit a high of +24.5 as prices flipped (9710/9685.5) due to perceptions of front-loaded easing.  Now what?  Which to buy and which to sell?  Ginger, or Mary Ann?  One thing you can’t go wrong with:  Dec Wheat.  Popping over $6 this morning, looks ready to run.

–FOMC minutes today, following the 10y auction.  At the futures close, 10y WI was 4.033.  On July 1 the yield was 4.463%.  On 9/16, just two days before the FOMC it was 3.62%.  

–CLX4 erased Monday’s rally, down 3.26 bbl yesterday at 73.88.  Many markets are spiking and fading. 

–Boeing at risk of being cut to junk by both Moody’s and S&P.  Google at risk of being broken up by the Federal Gov’t (according to FT). Florida facing a dire storm.  Against this backdrop, a pillar of American consumerism, the french fry, is also under assault:

Lamb Weston, the largest producer of french fries in North America and a major supplier to fast-food chains, restaurants and grocery stores, is closing a production plant in Washington state. The company announced last week that it would lay off nearly 400 employees, or 4% of its workforce, and temporarily cut production lines in response to slowing customer demand. 

https://www.cnn.com/2024/10/08/business/mcdonalds-french-fries-lamb-weston/index.html

–They can tell you the economy is great, that confidence is up, and that jobs are plentiful.  “You want fries with that?”

–A post on X: “Elon Musk says he would like to fire about 80% of the federal government while working with Donald Trump.”  
There’s a widespread belief that a Trump admin would blow out (the already shattered) budget, just like Harris. Gov’t spending has had the major supporting role, or, make it the lead role, in creating economic activity.  Maybe those assumptions need to be examined more closely.

NFIB uncertainty index at new high

October 8, 2024
******************
–Follow-thru front end selling and continued flattening.  On the SOFR strip, reds -8.5, greens -5.375, blues -3.625 and golds -3.125.  On Oct 1, SFRZ5 settled 9705, yesterday it was -9 at 9557.5, down nearly 50 in four sessions.  For comparison, over the same time period, SFRZ7 fell just 30, from 9691.5 to 9662.  October midcurves expire Friday, and 0QV4 9662.5 straddle settled 16.5.  Seems high. For good reason.   

–New recent low in 5/30 at 43.8 bps; it had posted a high of 62 on Sept 25.  TYZ4 settled 112-15+, down 11+ while cash tens were up 4.3 bps to 4.024% in front of tomorrow’s auction.  Three year today, 30s on Thursday.  There was not much evidence of a reach for puts in the long end.  ATM TY straddle settled 2’17 (112.5^) from 2’20 Friday (113^).  Some profit-taking sales noted in SFRZ4 puts, for example SFRZ4 9550p sold at 4.0 and settled there, 19 bps otm (9569s). The 9593.75 call settled 4.5.

–From Governor Kugler’s speech yesterday:
…my approach to any policy decision will continue to be data dependent and to rely on multiple and diverse sources of data to form my view of how the economy is evolving. For instance, I am closely monitoring the economic effects from Hurricane Helene and from geopolitical events in the Middle East, since these could affect the U.S. economic outlook. If downside risks to employment escalate, it may be appropriate to move policy more quickly to a neutral stance. Alternatively, if incoming data do not provide confidence that inflation is moving sustainably toward 2 percent, it may be appropriate to slow normalization in the policy rate.

–CLX4 was up nearly $3 bbl late at 77.34.  Not only are the effects from Helene important to monitor, Milton is now bearing down on Florida.  On another note, the Hang Seng index was down ~10% today.  China’s stimulus packages had sparked a rally from 17k to 23k, but HSI fell to 21k today.  Global volatility.

–Consumer Credit up just $8.9b with Revolving -1.2% annualized.  Data from August, but seems surprising given the “roaring” job market.
Today’s news includes NFIB Small Business Optimism….just released; here’s a snippet:

The NFIB Small Business Optimism Index rose by 0.3 points in September to 91.5. This is the 33rd consecutive month below the 50-year average of 98. The Uncertainty Index rose 11 points to 103, the highest reading recorded. 

–Trade balance and 3-year auction coming up.

Eases dialed down to quarter point increments

October 7, 2024
******************
–On September 24, FFG5 settled 9631 or 3.69%, 114 bps below the current Fed Effective rate of 4.83%.  This contract captures the next three FOMC meetings.  On the attached chart, I’ve marked eases in terms of 25 bp increments.  Obviously, with the contract having settled -20 on Friday at 9592.5, one ease came out.  This morning there is follow-through from Friday’s sell-off, with the contract down another 5 at 9587.5.  If the Fed were to ease 25 bps at the Nov, Dec and Jan meetings, the final settle would be 9592.0 (right at Friday’s level).  November FF settled 9537.0, and would settle 9536.17 on a cut of 25.  So, even though the first cut was 50, Friday’s NFP of 254k has dialed down future cuts to quarter point increments. 

–As mentioned over the weekend, there were huge declines in SOFR open interest, with SFRZ4 shedding 184k contracts or 14% of open contracts.  Recalibration continues this morning with SFRZ4 down another 5.5 to 9571 (was -15.5 on Friday).  SFRM5, which was the weakest contract on Friday, -28.5 at 9639.5, is down another 8 at 9631.5.  Clearly some of the price action is simply forced liquidation.  

–Curve flattened hard, with the 2yr yield up 21.6 to 3.928% and 10y up 13.3 to 3.981%  2/10 closed at 5.3 bps coming off a high of 23 on Sept 25.  As previously mentioned, that area is essentially the halfway point between the 2021 high of 158 and the 2022 low of -109.  Will likely hold between -10 and -5.  

–Consumer Credit this afternoon. Several Fed speakers including Bowman and Kashkari.  Auctions of 3s, 10s, 30s begin tomorrow.  CPI Thursday.  

• ABOUT:
  Former member of the CME specializing in interest rate options and yield curve strategies.