EXTENDED holiday
November 28, 2025
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–CME is still off line due to a cooling issue at its data center. Funny, as it’s right at the freezing point in Chicago!
–Friday’s features included exit sales of ERIS SOFR swaps: -35k YIYZ25 (10y) and -25k YIWZ25 (5y). Trades were entered in early Nov, and appear to have worked out as a hedge, as the US 10y yield is down about 11 bps from early Nov. On Wednesday, 10s were nearly unch’d at 3.996%. The high on 5-Nov was 4.16.
–Also a large buy Wednesday of SFRH6/SFRM6 3-month calendar, +55k from -25.5 to -25.0. This trade appears new as open interest in H6 increased 55k and in June OI +26k. Settled -25.5 (9645.5 and 9671.0). Since August, this 3-month calendar has ranged from -27.5 to -20.0. Given that the two contracts straddle the end of Powell’s term in May, there had been thoughts of a new Fed Chair slashing rates, which would drive this spread much more NEGATIVE in price. The buyer is fading that view. On a roll basis, SFRZ5/H6 is -19.5 (9626/9645.5) so from that standpoint the buys make sense. Note that the following 3-month spread is also higher in price at -18 (9671/9689). Simply a trade expressing the view that H6/M6 is ‘out of line’ given that Fed policy may not change much? Possible.
–Worth noting that red sofr contracts were weakest on the strip Friday. New low in red/green SOFR pack spread at 12.375 bps, -1.25 on the day. Examples: SFRH7 (red March, the highest point on the SOFR strip) settled 9701, -3 bps. SFRH8 -2 at 9689.5 (green March). SFRH9 -1 at 9671.0. 2/10 treasury spread eased slightly as well to 51.5 with the 2y yield +2 bps at 3.481 and 10’s unch.
