Market continues to peg terminal at 3.0-3.25%
February 26, 2026
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–Yields edged a bit higher yesterday with red, green, blue and gold SOFR contracts -3 to -4.5. Red to green SOFR pack spread settled at just 10.25 a new low (reds are 2027 contracts, price 9691.375, and greens are 2028 contracts, price 9681.125). Those two forward years are consistent with a terminal FF rate of 3.0-3.25%. Stocks had already rallied by the time NVDA earnings were released; reaction was muted with further gains quickly fizzling. ESH6 settled +56 at 6959.75.
–Ten year yield +2 bps at 4.048%, while 30s were up only 0.7 bp to 4.694.
–The early part of the session featured large exit block sales of SFRU6 and then SFRM6. -71k U6 at 9669.5 (9670.0s) and 24k M6 at 9648.0 (9648.5s) but late block of 20k M6/U6/Z6/H7 pack appeared buy. One large option trade of note, buy of 50k 0QZ6 9825c for 5.5 ( settled 5.75 vs 9690.5). Also a buyer of 100k June VIX 22 c for 3.35.
–News today includes Jobless Claims expected 216k. 7 yr auction.
–One other quick note: CME sent out a series of emails yesterday advising of technical difficulties with Metals and NatGas leading to disruptions in trading. Somewhat interesting that CME stock rallied to a new high early yesterday, capping a 22% gain just since the middle of January. The CME technical problems appeared to spark profit taking in CME stock, which ended up with a large outside day reversal, down 3.7% on the day.
