Don’t Worry, Be Happy
December 2, 2025
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–Rate futures weakened significantly yesterday with 10 and 30 year bond yields up 8 bps to 4.094% and 4.744%. Curve steepened somewhat with 2s rising 5 bps to 3.539%. A couple of bearish factors were concerns relating to a new Fed composition and surging Japanese yields. All SOFR contracts are below 9700 or 3%. Peak contract SFRH7 is 9692.5, down 6 on the day (recent high settle in that contract is 9716 from 8-Sept). SFRH8 -7.5 at 9679.5 and SFRH9 -8.0 at 9659.5. Front March, SFRH6 only fell 2.5 to 9642.5, supported in part by large call spread buying. Largest trade was new, +40k SFRF6 9656.25/9668.75cs bought vs sold 9637.5/9625.0ps, 1.5 to 0.75 credit to sell put spread. CS settled 1.75 and PS 3.0. There was also outright buying of the call spread only as open interest rose over 80k in both strikes. SFRH6 9637.5/9650cs also bought in size 40k for 4.25. The 12.5 wide call spreads didn’t work out in the Sept & Dec cycles; third time’s a charm?
–On 28-Nov, (end of month) EFFR set at 3.89, up 1 bps and SOFRRATE at a new recent high 4.12. QT ended yesterday. QE around the corner.
–At one point yesterday, a snapshot of SIH6 (silver) was 58.81 per ounce. CLH6 was 58.77. Buy a barrel of oil for an ounce of silver. One of those prices is wrong.
–BBG headline yesterday said Trump has made his decision on a new Fed Chair. I’m not worried.
I actually like Hassett and wish him well if he’s the choice.
