Honest and accurate inflation data
August 12, 2025
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–Light volume Monday. Yields were slightly easier; 5, 10 and 30y down around 1 bp. Tens -1.2 to 4.271%. CPI today expected 0.2 m/m with yoy 2.8% from 2.7% and Core expected 3.0% from 2.9%. Hedges against high inflation data were placed (Friday expiry): TY wk3 111.75/111.50/111.0 p fly 0 paid 12k. TY wk 3 111.5/111.0ps 7 paid 17k. Settles 111.75p 13, 111.5p 7, 111.0p 2 ref TYU5 111-285. There was a large buyer of ~55k TYU/Z roll for 0. Open interest in both futures contracts up a similar amount. Settled 0 with both at 111-285. USU5 112/107p 1×2 3 paid 6k. Settle 5 & 1 ref 115-05.
–Continued buying SFRU5 9612.5/9625cs for 1.5. Over 30k yesterday bringing the total to around 150k. Settled 1.25 vs 9591.5. U5 9606.25/9618.75cs settled 1.5. 9600/9612.5cs traded 2, settled 1.75.
–Trump extended China tariff decision for 90 days.
–Because I had re-posted a recent analyst report regarding Marex (MRX), I’ll just note that earnings are out tomorrow morning.
–Interesing post relating to Aug 2007:
No frills opening: “The complete evaporation of liquidity in certain market segments of the US securitisation market has made it impossible to value certain assets fairly regardless of their quality or credit rating.”
Note to self, any asset which has zero liquidity likely has a similar amount of ‘quality’.
