But I don’t even really work here…
November 18, 2022
–Worst Philly Fed number of the year at -19.4. Bullard set the tone early by saying FF should go to 5.0-5.25% and Kashkari capped the day by saying the Fed shouldn’t stop until inflation has peaked. New low in red/green ED pack spread -73.25 (spread is same level in SOFR). New low in 2/10 just above -68. Elon Musk has supposedly sparked a mass exodus of Twitter employees, which is nice, because now there’s a fresh source of labor.
–Japan CPI hit its highest level since 1982 at 3.6% but the BOJ vows to keep an easy policy stance. Hahahahaha…how crazy is that? That’s a negative real funding rate of 3.6%! That would be as if the US FF rate were 3.83% (3.75-4.0%) and CPI was 7.4%. Oh. Nevermind, last CPI was 7.75%.
–Vol firmed in short end yesterday as the market took a step back from post-CPI calm. There had been a large seller of SFRU3 9550 and 9537.5 straddles after CPI around 83/84. Yesterday, SFRU3 settled 9523.5. SFRU3 9537.5^ 91.25s (38.75/52.50) SFRU3 9550^ 93.75s (34.0/59.75). I guess that stings a bit, but it pales in comparison to Masayoshi Son who’s in a mad race to catch SBF amid reports that he owes $4.7 billion to Softbank on “side deals”. I’m going to forecast that this amount balloons to $10 billion before the month is out. We’ll call it the ‘Vision Fund’. Now you see it, now you don’t.
–Twos, fives and sevens crammed into the auction schedule on Monday and Tuesday, along with a 2yr FRN Tuesday. It’s like stuffing a turkey.
