Gold on the Ceiling
October 8, 2025
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–Yields eased yesterday with 10s down 3.5 bps to 4.125% in front of today’s auction. Fed Effective has been 4.09% so 10s are hugging that level. SOFRRATE 4.15% on Monday. 30 year auction tomorrow. 30y yield fell 3.3 bps to 4.724%. Treasury vol probing new lows. Peak SOFR contract SFRH7 was +3.0 at 9595.
–Even though SOFR futures were drifting a bit lower early yesterday, there were additional call spread buyers on SFRZ5. From Art Main at TJM:
+25k SFRZ5 96.50/96.625 call spread (10k 1.25’s covered 96.35/.355 delta .05) from 1 to 1.25 (position add ~140k)
+12k SFRZ5 96.625/96.6875 call spread covered 96.30 delta .05 at 0.25 (position add ~70k)
+10k SFRZ5 96.625/96.75 call spread at 0.5 (position add ~20k)
+15k SFRZ5 96.4375/96.50/96.5625 call fly at 0.25
–All of these require MORE than 2 more 25 bp cuts. Current EFFR 4.09. Cut 50 leaves it 3.59 or 96.41. Jan FFs (FFF6) are nearly there at 96.37. SFRZ5 is 9632.5.
–It’s all about gold now. A move >1%, like this morning, adds over $270 billion to market cap (estimated at $27T). Almost enough to buy Chevron ($317b mkt cap).
They wanna get my
They wanna get my gold on the ceiling
I ain’t blind, just a matter of time
Before you steal it
–Black Keys
