The Vengeance
January 26, 2023
–Large trade yesterday was a block of 49k buys SFRZ3/Z4 for -146. Said to be an exit; open interest rose 880 in Z3 and fell 44294 in Z3. The most inverted one-yr calendar remains SFRU3/U4 at -162.5 (9531.5/9694.0) up 5.5 on the day, having posted an all-time low of -177 last week. The low in Z3/Z4 last week was -152.5, yesterday’s settle was -143.5 (9565.5/9709). When all was said and done, SOFR futures volume was just over 2.277 million and open interest net change was down 81 contracts.
–Also on SFRZ3 a new buyer of 60k 9700/9750/9800c fly for 1.5. Need cuts of a couple of hundred bps on that one by year end.
–Yields fell slightly in treasuries with tens -1.2 bps to 3.454%. Stellar five-year auction with 7s today. Is there a safe harbor aspect to the treasury bid? …given tank deliveries to Ukraine and German Foreign Minister Annalena Baerbock saying yesterday the EU is at war with Russia. I personally am not sure whether to buy treasuries, gold, or one of these things:
| Pepper spray for the school run? The weaponised SUV set to terrify America’s streets | Design | The GuardianStyled like an Elon Musk fever dream, its great bulk sculpted with clunking facets, the Vengeance is the latest heady concoction to emerge from Irvine, California-based Rezvani Motors.www.theguardian.com |
–Bank of Canada raised by 25 and may be done. Could soft PCE prices spark the same sentiment in US? Core PCE price mom expected 0.3 with yoy 4.4%. Today brings Jobless Claims expected 205k, and Q4 Advance GDP expected 2.6% with Price Index 3.3%.
