CPI day
June 10, 2026
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–CPI and 10y auction today. Yesterday featured a slightly steeper curve, with 2s -2.9 bps at 4.122% (50 over current EFFR) and tens down 2.2 to 4.526%. Lowest SOFR contract still SFRM7 which settled +4 at 9594.5 or 4.055%. CPI expected 0.5 m/m and 4.2 y/y. Last June the front CL contract was over 70 and this morning it’s 88.
–Huge swing in stocks, initially taking out Friday’s lows and then coming almost all the way back! ESM6 range 244 points, closed -23.25 at 7392.75. (Weaker this morning as US/Iran hostilities ratchet up again). Precious metals making new lows this morning with GCQ6 just under 4200, -86 on the day. $/yen at new high 160.45 this morning. BOJ chief Ueda hospitalized; will miss next week’s meeting where hike is expected.
–2yr options have been a bit more active in last few sessions. Yesterday a buyer of 5k TUN6 103.125/103.375c 2×3 for 6, 5k, rolling long to lower strike, settled 6 (7.5/3.0). TUU6 settled 103-017; the 103.125 strike (103-04) is about 3.5 bps otm, expires 26-June.
