FOMC day
Feb 1, 2023
–What happened Tuesday? Monday was reversed, that’s all. FVH3 settle Friday 109-10, yesterday 109-0775. TYH3 Friday 114-195, yesterday 114-165, USH 130-05, yest 129-28. SFRM4 9652.5 to 50.5. ESH3 4084.25 to 4090.0 CLH3 79.68 to 78.87. FOMC today. Powell pushback against pivot. June’23/Dec’23 SOFR calendar settled -48 (9510.5/9558.5). If Powell is successful, then this spread should move more positive…maybe to -42?
–What’s the terminal rate? Every SOFR contract for two years, from March’25 to March’27 is between 9706.0 and 9716.0. So 2.75-3.0%.
–FFG3 settled 9542.0. FFJ3 9521.0. Ten year 3.53%
–I marked this week’s atm straddles late yesterday (for today and Friday expiration) given all the interest in 0-1 dte.
TY Wed 114.5^ 35/36
b/e 113-305/115-015
TY Fri 114.5^ 60/61
b/e 113-180/115-140
US Wed 130^ 61/63
b/e 129-01/130-31
US Fri 130^ 143/145
b/e 128-10/131-22
–ADP expected 180k, ISM Mfg 48 from 48.4, and JOLTs 10300k
