Lower rates

November 28, 2023
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–Rate futures rallied yesterday, the ten year yield fell just over 9 bps to 4.388%.  On the SOFR curve, greens through golds were +10 to 12.  New Home Sales much weaker than expected at 679k (721k expected).  Dallas Fed Mfg soft at -19.9.  Mediocre 2y auction was followed by a solid showing in 5s, 0.5 bp through at 4.42%.  

–Trade of the day was a buyer of over 50k SFRU4 9700/9800cs for 5.75 to 6.0.  Settled 6.0 ref 9525.0.  This trade is an add, the 9700c strike now has 190k open.  New recent lows in some of the one-year SOFR calendars.  The most inverted are SFRH4/H5 and M4/M5 at -116.5.  Strong support at -122 to -120 in both, but closes below would signify a broader rally, especially in fives.  

–Waller speaks on the economic outlook at 10:00.  Powell on Friday following Thursday’s PCE inflation data.  Several other Fed speakers as well this week, but Waller is probably the most important aside from Powell.  

–Today’s news includes Consumer Confidence; perhaps Biden’s pep talk on the low relative cost of Thanksgiving will help.  Seriously though, the price of gasoline seems to be trending ever lower, which is clearly a benefit for the consumer.  

• ABOUT:
  Former member of the CME specializing in interest rate options and yield curve strategies.

  The risk of loss in trading futures and/or options is substantial and each investor and/or trader must consider whether this is a suitable investment. Past performance, whether actual or indicated by simulated historical tests of strategies, is not indicative of future results.