Jobs
September 1, 2025 – Weekly note
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On Tuesday we get ISM Mfg data. Since the Fed’s focus has turned squarely to the labor market, I just highlight data related to jobs this week, of which there is plenty. The Employment Index in last month’s ISM Mfg was 43.4, the lowest since the pandemic. In the past 20 years, there have only been two periods that this data was weaker, the GFC in late 2008/early 2009, and Covid in 2020.
On Wednesday, JOLTS, which was 7437 last. The low for this cycle was last year at 7103. The high in 2022 was over 12000. This data is essentially where it was in 2018/2019, though population is likely up 1.5% since then. Beige Book also on Wednesday.
ADP on Thursday. Popped up to 104k last, though in June it was -23k, only lower once in the past four years. Also on Thursday ISM Services employment, last at 46.4. Since the pandemic it has only been lower twice, December 2023 at 43.7 and March of this year at 46.2.
Finally on Friday, NFP, 73k last. June revised to 14k. the lowest since the pandemic. There are a lot of warnings about this number coming out weaker than expected. Forecast at +75k with a rate of 4.3%, which would be a new high for this cycle. The last time over 4.3 was in Q4 2021.
On the treasury curve, fives were the strongest, with the yield ending -6 bps at 3.759%. On the SOFR strip, SFRU8 was strongest settling up 8.5 at 9676.5. SFRH7 is still the peak contract, now 9705.5, up 5.5 on the week, and right at the highest settle of any contract this calendar year.
FFV5 settled 9589.5, solidly pegging an ease of 25 bps at the 17-Sept FOMC. Range on the week was 88.5 to 90.5. A price of 9592.0 represents a 25 bp cut. After this meeting there are two more FOMCs prior to year end, Oct 29 and Dec 10. Nov FF will capture the October meeting. Assuming 25 in Sept, another cut would be 9617.0. From Friday to Friday the contract rallied from 9601 to 9602.5, so we’re nearing 50/50. FFF6 settled 9624.5.
My bias is that red SOFR contracts go into the payroll data about 5-7 bps higher than Friday’s close. For example, I think SFRU6 could be around 9700 from Friday’s 9693.5. However, as of this writing on Monday morning, USH is down half a point at 113-25. The Fed’s pivot away from inflation fighting, along with political uncertainty, is boosting term premium. As an example, Trump suggested renaming the Dept to Defense to the Dept of War. Not particularly clever if lobbying for the Nobel Peace Prize, and characteristically antagonistic in front of the Modi, Putin, Xi summit.
5/30 calendar ended at a new high of 121.6 bps. The thirty-year yield finished +3.1 on the week at 4.915%.
On Friday, the theme of large TY October call buys was extended with a purchase of 100k TYV5 114c for 13, delta 18, covered 112-165 to 16. (Settled 13 vs 112-16) Open interest was up 59k in that strike Friday, to a total of 137k. Previously bought (both delta neutral) were 113c which settled 29 with open positions totaling 220k and 113.5c which settled 20 with 134k open. October options settle 26-Sept. Downside B/E on the 114 calls is 111-12, essentially at the low print in August for TYZ5. MOVE index was slightly higher on the week from low levels, ending at 79.39 from the previous Friday 78.10.
OTHER THOUGHTS/ TRADES
Silver has broken out to new recent highs above $40/oz. Spot gold is flirting with 3500. Bitcoin is laboring around 108.6k, well off the high print in August ~125k.
I’m guessing that everyone who wants a position in SFRU5 options already has it. On Friday the 9600/9612.5cs traded 0.75, which I think has great risk/reward. (SFRU5 9590.5s). Just on the call side, strikes 9587.5 to 9625 have open interest of 3.4 million, more than double the underlying future with 1.45m.
I would expect to see some high gamma put buys on FV and TY prior to employment. I still favor TYV 113/ TYZ 113.5 c diagonal, originally priced at 6, settled 5 on Friday. Nov options capture the Oct 10 FOMC (24-Oct expiry). As a targeted upside play, TYV 113.5/114/114.5/115 c condor settled 4/64’s
| 8/22/2025 | 8/29/2025 | chg | ||
| UST 2Y | 365.9 | 362.1 | -3.8 | |
| UST 5Y | 375.9 | 369.9 | -6.0 | |
| UST 10Y | 425.8 | 422.6 | -3.2 | |
| UST 30Y | 488.4 | 491.5 | 3.1 | |
| GERM 2Y | 194.5 | 193.7 | -0.8 | |
| GERM 10Y | 272.0 | 272.3 | 0.3 | |
| JPN 20Y | 266.4 | 260.1 | -6.3 | |
| CHINA 10Y | 178.4 | 178.0 | -0.4 | |
| SOFR U5/U6 | -100.0 | -103.0 | -3.0 | |
| SOFR U6/U7 | -3.5 | -6.5 | -3.0 | |
| SOFR U7/U8 | 25.0 | 23.5 | -1.5 | |
| EUR | 117.18 | 116.86 | -0.32 | |
| CRUDE (CLV5) | 63.66 | 64.01 | 0.35 | |
| SPX | 6466.91 | 6460.26 | -6.65 | -0.1% |
| VIX | 14.22 | 15.36 | 1.14 | |
| MOVE | 78.10 | 79.39 | 1.29 | |
