Can’t MOVE. It’s below 0 Fahrenheit here in Chicago
January 23, 2026
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–Flattener yesterday as econ data keeps chugging along. Two-yr yield +1.5 bps to 3.61% and tens -0.6 to 4.247%. Vol continues to get absolutely crushed. MOVE ended yesterday at 56.5; it’s been a steady slide since the Liberation Day April high of 140. Example was a new seller of 8k TYH6 111-112.5 strangle at 26, which I marked at 3.85 (low since 2021). Most SOFR straddles yesterday were down 1 to 2.5 bps. TYH6 111.5^ settled 60. A week ago the atm H6 straddle was around 1’06.
–There were a couple of standout TU option trades, both new: +20k TUH6 104.75c, 0.5 paid 20k, and +86k TUH6 105.625c for cab-7 (disaster insurance). TUH6 settled 104-0275; I roughly calculated the 104.75 strike to be about 35 bps otm, call it 3.25% in 2y cash. Options expire 20-Feb. I had recommended buy SFRG6 9643.75/9656.25cs for 0.5 (thanks TS) which is only about 7 bps otm on SFRH6, and expire 13-Feb, traded about 7k. There were some downside plays as well, but I will just highlight a couple of other upside trades: +60k SFRU6 9675/9700/9725/9750c spd 4.75 to 5 (adding, settled 5 ref 9666.5) and buy of 12.5k SFRH7 9725c 10.25 to 10.5, settled 10.5 vs 9670.5.
–JJ from Market Vibes newsletter mentioned bitcoin priced in gold yesterday afternoon. I hadn’t looked previously so I am adding a chart here. Bitcoin priced in gold is down from 40 in late 2024 to 18 currently. When I just glance at bitcoin, it looks like it rallied during the Fed tightening campaign but has weakened since the Sept 2025 easing. In a cruder way, I think gold is supported by physical vaults and guns, while bitcoin depends on the grid (however one wants to define it). A day or two ago there was this item from Jeffries: “The company’s global head of equity strategy believes quantum computing could undermine Bitcoin’s role as a form of digital gold.” (Bitcoin in purple, ratio to gold in white).
