Delayed Nov Jobs means no ease?
November 20, 2025
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—NVDA post-close earnings sparked a hard bounce in equity index futures, and has helped bitcoin recover from a new low of 88.5k yesterday; XBT is 91.6k as of this writing. The BLS is not going to release the November jobs report until Dec 16, which is after the Dec 10 FOMC. January Fed Feds fell 4.5 bps to 9621, as expectations for an ease are dissolving. Current EFFR is 3.88, or a price of 9612. An ease would suggest 3.63 or 9637. Ignoring the Jan 28 meeting (worth 3 days or about 10% to the FFF6 price) any FFF6 price below 9624.5 suggests a lean toward status quo at the Dec FOMC.
–There will be a payroll report today with NFP expected 50k. We already know the consumer is weak, Target (TGT) released yesterday, stock down 2.8% near low of the year. WMT this morning.
–Front end SOFR contracts were weakest with Z5, H6 and M6 all down 2.5 (9616.5, 9638.5, 9663.5). Further back, SFRH7, the peak contract, was only down 1 at 9691.5 and SFRH8 was also -1.0 at 9677.5. Near one-year calendars edged to new recent lows, with Z5/Z6 at -72.5, and H6/H7 -53.0.
–Interestingly, SFRZ5 vol was crushed with 9618.75 straddle settling 10.75 vs 9616.5 (traded 10.5). On Tues, Z5 9618.75^ settled 13.75 vs 9619. Dec SOFR options expire AFTER FOMC, on Dec 12. While we won’t know the jobs report, we WILL know the Fed outcome. For Jan Fed Funds that means either 9612 or 9637, a 12 bp swing either way from middle. That would suggest a Dec SOFR straddle price of at least 12? Maybe or maybe not, but there are 23 days until expiration with several plausible risks outside of the ultimately binary Fed decision: funding risks, a crypto meltdown, geopol events.
SFRZ5 option settles
9606.25p 0.25
9612.50p 2.25
9618.75p 6.50
9618.75c 4.25
9625.00c 2.25
9631.25c 0.75
9637.50c 0.25
Still 900k open in Z5 9650c, which settled 0.25. There had been a huge buyer of Z5 9650/9662.5c spreads.
–Speaking of huge buyers and straddles, yesterday morning: TYF6 114c oov 112-245, 26d, 22 paid for 50k. (synth 1’59 in straddle, settled 1’61 vs TYH6 112-205)
Brings the postion in that strike to around 170k with 200k in the 113.5 strike. Total OI in Jan 113.5c is 290k and in 114c 250k (up 42.6 yesterday).
–Ten year TYZ5/H6 roll is about 21% complete and traded ~ 400k by the time of futures settle. At that time almost all trades had occurred at 1.75, only 1500 at a price of 2 and about 6k at 1.5. I’m not including trades done with tails; just noting that it’s tight so far.
