Brief CME session today, with plenty of risk
April 3, 2026
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–Short session today with most also taking Easter Monday off. Payrolls expected +65k with rate 4.4%.
–Notable buying TYK 112c (delta neutral) over 42k. Settled 0’16 vs 111-005 with open interest +25k. While holiday time decay is a slight headwind, vol protection makes a lot of sense.
–Yields overall little changed yesterday with tens -1.5 bps to 4.307% and SOFR strip mostly unch’d to +0.5. Peak SOFR SFRZ7 is 9657 or 3.43%.
–I only saw the headline: (FT) US Treasury Calls in Regulators for Talks on Private Credit Risks. The run on Blue Owl is garnering more headlines as well. Seems as if the trend of PIK (payment in kind) kicking the can down the road should have been a red flag, and indeed, it was. But took a long time to develop. When funds are gated, the investors end up either selling other assets that can provide liquidity, or borrowing against such assets to keep the plates spinning. Fraying continues at the edges.
–Story on ZH is a couple of days old citing a report by Apartment List:
- Rent prices nationally are down 1.7% compared to one year ago. Year-over-year rent growth is now at the lowest level that we’ve seen in our estimates going back to 2017, surpassing a record set in the early months of the pandemic. The national median rent has now fallen from its 2022 peak by a total of 5.5%.
https://www.apartmentlist.com/research/national-rent-data
–I’m leaning toward an economic model of the ‘Paradox of Thrift’ for consumers. Individual consumers pull in the reins on spending and increase saving, but in the aggregate, demand falls. In terms of an inflationary impact, I think the thrift model will overwhelm the effect of rising energy costs.
