May 26, 2026
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–Friday featured new lows in many curve measures as Waller said a hike is just as likely as an ease. 2/10 ended at 44.3, down 5.4 bps, nearing this year’s low of 42.4 set in March. July of 2025 low was 41.5…important level to try and hold. If it doesn’t, 20 is a reasonable first target. 5/30 was down 4.2 bps to 81.4 (4.267, 5.081). This spread has broken an upward sloping trendline from 2023 starting from negative 34. Target 61 to 63. Red/gold SOFR pack spread ended at new low 8.5. down 6 on the day (9601.5/9593). This spread was +63 in January and has been in a solid downtrend all year, with most SOFR contracts now around 4%.
–However, CLN6 this holiday Monday morning is -5.75 at 90.85 as Trump tries to extricate the US from Iran. (92.43, -4.17 on TUESDAY morning). Red SOFR contracts +10 on the day. With FVU6 currently +13/32, USU6 +1-05, and WNU6 +1-08, I figure the 5/30 spread is down another 1-1.5 bps (Cash mkt closed today). Apart from the disinflationary impact of oil, BBG reports ‘DeepSeek To Make Permanent 75% Discount on Flagship AI Model’. Going into OpenAI and Anthropic IPO’s…
–Bearish sentiment has been strong on the long end of the US curve due to inflationary whiffs. Friend JJ (Market Vibes on substack) has been writing about massive shorts across treasury instruments. Mother of all squeezes plausible??
