November 20, 2022 – Weekly Comment ******************************************* On Friday, there was a buyer of about 50k SFRU3 9700/9800 call spreads for 4.25 to 4.5 (settled 4.0 ref SFRU3 9615.5).  Current EFFR is 383 bps.  SOFRRATE is 378 to 381.  January 23 Fed Funds settled 9562.5 or 437.5 bps, which is 54.5 above EFFR, indicating high … Continue reading Using the 2018/2019 Playbook