Less volatile price churning ahead
April 9. 2026
*************
–CLK6 settled 94.41 yesterday and is about $3 higher this morning. May/June spread is 6.80; CLM6 is just below $91. US rates declined on the tentative ceasefire, with tens ending -5.4 bps at 4.287%. Implied vol was crushed. With a little over 2 weeks to go, May TY atm straddle went from 1’09 at Tuesday’s settle to 1’01 yesterday and USK6 atm straddle from 2’10 to 1’60. SOFR straddles eased a few bps. April SOFR midcurves expire tomorrow, 0QJ6 9650^ settled 8.5 vs 9646.5 in SFRM7.
–Today’s news includes PCE prices, m/m expected +0.4 with Core also 0.4. Yoy expected 2.8 vs 2.8 last with Core 3.0 vs 3.1. Jobless Claims 210k. GDP for Q4 expected +0.7, same as the second estimate which was released mid-March. 30y auction.
–Near one-year SOFR calendars edging slightly more inverted again. For example, SFRU6/SFRU7 settled -22 (9632.5, +2/ 9654.5, +6), from -18 Tuesday. Low settle on this spread was -28.5 on 27-Feb. By comparison, SFRM6/M7 settled -52.5 on 27-Feb, and -14.5 yesterday. Front end of the SOFR curve is pretty much pegged to current EFFR at 3.64%. SFRM7/U7 is the most inverted 3-mo calendar at -8 (9646.5/9654.5). Fed is being priced with a small bias toward forward easing.
–Kalshi post from yesterday makes me think CME will resusitate its NFP contract first intro’d in March 2008:
“BLOCK trades are active on the platform…seeing a lotof $20-$30 million trades for payroll hedging”
