Employment
May 3, 2024
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–Payrolls today expected 240k with Unemployment rate of 3.8%. Yields eased yesterday apart from the 30y bond. Twos -6.2 bps to 4.875%, tens -2.4 bps to 4.567% and bonds up just slightly at 4.717%. AAPL had a nice pop post earnings, apparently on buy back plans.
–Open interest in treasury futures up 1% or more as yields pulled back yesterday. An all clear to be long? Maybe, but if ‘term premium’ fears re-emerge there’s going to be that much more to puke. FV open int +69k to 6.085m, TY +58k to 4.457m, UXY +39k to 2.117m. US +13k to 1.588m. A lower than expected payroll number will likely bull steepen the curve, and positioning appears biased for that outcome.
–New buyer of 50k SFRH5 9625/9725cs for 5.5 to 6.0, settled 6.0 vs 9530. They’ve loaded up long SFRZ4 9600/9700 call spreads and are now pushing a bit further out the curve.
–August FF (FFQ4) settled 9476 or 5.24% against current EFFR or 5.33%. About 35% chance of a 25 bp ease at either the June 12 or July 31 FOMCs.
–No missive this weekend.
