Dispersion
February 13, 2026
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–Rate futures surged, led by longer maturities, as Existing Home Sales came in at just 3.91m vs 4.15m expected, and the tech (& bitcoin) sell off resumed. SPX -1.6% on the day, Nasdaq -2.0%. The 2y yield fell 4.6 bps to 3.464%, but tens fell 6.8 bps to 4.102% and thirties fell 8.2 to 4.73%. On the SOFR strip, the peak contract is still SFRH7, +6.5 to 9692. However, front March barely moved, up only 0.5 to 9636.5. H8 rose 9 to 9679.5 and H9 +9.5 to 9658.5. Obviously the long end is unconcerned about today’s CPI, expected 0.3 both headline and Core, with yoy expected 2.5% vs 2.7% last and Core 2.5% vs 2.6% last.
–New lows in many of the near SOFR calendar spreads. The front end is hesitant to price easing, while more deferred contracts are blithely unburdened but what has been. SFRH6/H7 made a new low of -55.5. SFRM6/M7 new low -34.5 (9656.5, +1.5/ 9691.0, +7.0). Volume was solid. By the end of the day, there was a bit of a protective reach in tens, with a buy of 27k TYH6 113.5c for 6 to 7. (Settled 6 vs 112-255) March treasury options expire on Friday.
–Cherry picking here, but this example sort of gives a flavor of the equity market: On Oct 31, WMT was 101.18. Yesterday closed at a new high 133.64, up 32% in 3.5 months. On Oct 31, Coinbase was 343.78. Yesterday, 141.09, a decline of 59%. Bro.
