All about stocks
March 11, 2025
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–SPX fell 2.7% and Nasdaq Comp fell 4.0%. Decline from the highs is of greater magnitude than seen last August (yen-carry scare). Signs of a short-term bounce this morning.
–FFN5 settled 9600.5 (+6.0 on the day) or just under 4% vs current EFFR of 4.33%. FOMCs next week (nothing expected) then May 7 and June 18. Possible eases at both meetings? The Fed has signaled a bias toward labor conditions rather than inflation; today JOLTS is released, expected 7600k from 7600k last. Low last year was 7372. Auctions of 3s, 10s and 30s kick off today with the three-yr.
–Ten-yr yield sank 10.4 bps yesterday to 4.211%. Two-yr yield fell 10.6 to 3.894%. However, the 30y yield fell only 7.7; new recent high in 5/30 spread at 56.6, up 4.5 on the day. Near SOFR calendars made new lows of course, with SFRH5/H6 at -81.5 (9572, +1.5 & 9653.5, +13.5). Like FFN5, SFRM5 is just under 4% at 9603.0. Strongest contract on the SOFR strip is also the peak, SFRM6 at 9657, up 14. Buyer of 40k 0QM5 9750/9800cs for 2.75, settled 3.0.
–Unsurprisingly, rate vol jumped. The seller Friday of 50k SFRU5 9625c at 24 covered 9625.5 to 9626 (straddle = 47.5 to 47) was just a little early; SFRU5 9625^ settled 49.5. I marked TYJ5 111.25^ at 1’15s or 8.0 and TYM5 111.0^ at 2’47 or 6.8. New highs. However, by way of comparison, BBG one-month vol shows a high of 7.8 in one-month vol on August 5 (yen-carry), and 7.2 now. VIX around 27.
–CPI tomorrow expected 0.3 headline and core. YOY 2.9 and 3.2 Core.
