Ugly week
November 21, 2025
*********************
–Massive reversals in stock futures following brief elation associated with NVDA results. You know how it is.
–SPX -1.56% and Nasdaq Comp -2.15% sparked a modest bid in the front end. Two-yr yield fell 4.2 bps to 3.556% while tens eased 3.1 bps to 4.102%. So, 2/10 spread pushed to a new recent high of 54.6, but it has been in a range of 42 to 62 since May, with an April spike up to 64. On Wednesday the market was leaning heavily towards the idea of the Fed holding steady at the December meeting, with FFF6 trading as low as 9618 (EFFR is 3.88 or 9612) but yesterday FFF6 settled 9623, +2 on the day and closer to 50/50. Huge volume in that contract of 663k with open int up 114k to 588k. SFRZ5 settled +1.5 at 9618, and Z6 +4.5 at 9693.5 (new low in Dec5/Dec6 at -75.5). Peak contract SFRH7 also +4.5 to 9696, nearing 3% again (actually 9702 this a.m). On Sept 5, SFRH7 hit 9719.5 and on Oct 17, 9717.
–Bitcoin seems to be leading stocks, as of this note (5:15 EST) around 82k, a breathtaking 35% drop from the early October high. The four month rally from early Apri to mid-July has been erased in less than half the time. Treasury futures are attempting an upside breakout this morning, with TYH6 113-08 (+14). Option expiration in Dec treasuries and equities could spice things up today. TYZ5 113.25^ currently 17/19 ref 113-10.
–Sept payrolls released yesterday were stronger than expected at 119k, but the unemp rate went to a new high of 4.4%. Data is old and irrelevant. If equities crumble that’s all that matters as wealth effect spending will go into winter hibernation. Credit quality concerns will be heightened.
–As of yesterday’s close, treasury rolls are about one third complete. TY 31%. FV 32%. With the general rally in futures, slightly longer durations in March contracts are pressuring rolls with FV now printing -3.0 and TY 1.5/1.75 and trade small to bid.
Delayed Nov Jobs means no ease?
November 20, 2025
*********************
—NVDA post-close earnings sparked a hard bounce in equity index futures, and has helped bitcoin recover from a new low of 88.5k yesterday; XBT is 91.6k as of this writing. The BLS is not going to release the November jobs report until Dec 16, which is after the Dec 10 FOMC. January Fed Feds fell 4.5 bps to 9621, as expectations for an ease are dissolving. Current EFFR is 3.88, or a price of 9612. An ease would suggest 3.63 or 9637. Ignoring the Jan 28 meeting (worth 3 days or about 10% to the FFF6 price) any FFF6 price below 9624.5 suggests a lean toward status quo at the Dec FOMC.
–There will be a payroll report today with NFP expected 50k. We already know the consumer is weak, Target (TGT) released yesterday, stock down 2.8% near low of the year. WMT this morning.
–Front end SOFR contracts were weakest with Z5, H6 and M6 all down 2.5 (9616.5, 9638.5, 9663.5). Further back, SFRH7, the peak contract, was only down 1 at 9691.5 and SFRH8 was also -1.0 at 9677.5. Near one-year calendars edged to new recent lows, with Z5/Z6 at -72.5, and H6/H7 -53.0.
–Interestingly, SFRZ5 vol was crushed with 9618.75 straddle settling 10.75 vs 9616.5 (traded 10.5). On Tues, Z5 9618.75^ settled 13.75 vs 9619. Dec SOFR options expire AFTER FOMC, on Dec 12. While we won’t know the jobs report, we WILL know the Fed outcome. For Jan Fed Funds that means either 9612 or 9637, a 12 bp swing either way from middle. That would suggest a Dec SOFR straddle price of at least 12? Maybe or maybe not, but there are 23 days until expiration with several plausible risks outside of the ultimately binary Fed decision: funding risks, a crypto meltdown, geopol events.
SFRZ5 option settles
9606.25p 0.25
9612.50p 2.25
9618.75p 6.50
9618.75c 4.25
9625.00c 2.25
9631.25c 0.75
9637.50c 0.25
Still 900k open in Z5 9650c, which settled 0.25. There had been a huge buyer of Z5 9650/9662.5c spreads.
–Speaking of huge buyers and straddles, yesterday morning: TYF6 114c oov 112-245, 26d, 22 paid for 50k. (synth 1’59 in straddle, settled 1’61 vs TYH6 112-205)
Brings the postion in that strike to around 170k with 200k in the 113.5 strike. Total OI in Jan 113.5c is 290k and in 114c 250k (up 42.6 yesterday).
–Ten year TYZ5/H6 roll is about 21% complete and traded ~ 400k by the time of futures settle. At that time almost all trades had occurred at 1.75, only 1500 at a price of 2 and about 6k at 1.5. I’m not including trades done with tails; just noting that it’s tight so far.
Consumers pulling in the reins (and shunning TLT as well)
November 19, 2025
*********************
–Today’s news includes FOMC minutes, followed by NVDA. Given that many Fed officials have recently articulated their outlooks, the minutes probably aren’t important. FFF6 is closely bouncing around either side of 50/50 for a cut/no cut at next month’s FOMC. FFF6 settled 9625.5 or 3.745% vs current EFFR of 3.88 or 9612.
–I don’t watch retail stocks closely, but I would note that TGT reports this morning. Stock is down 35% ytd and is near the year’s low. Yesterday COST was down 1.9% at 895; it’s also near the year’s low of 890, set in March. HD was slammed 6% yesterday on its report. WMT tomorrow morning.
–One other tangential note, the Dutch gov’t taco’ed and relinquished control of Nexperia back to China. “We see this as a show of goodwill” said the Dutch econ minister. More like the realization that expropriation of a company which makes chips vital to the auto industry is just stupid. “An important goal in the discussions with the Chinese authorities is the resumption of exports from China in order to alleviate the disruption to value chains. At the time of writing, there is cautious optimism following a number of reports that Nexperia chips are being delivered again,” Karremans wrote… (CNBC)
–In the US stocks remain cautiously vulnerable in front of NVDA. Numerous shrill reports that bitcoin had fallen below 90k appear to have brought in some bottom-pickers. The US curve steepened. The 2y yield fell 3 bps to 3.578% while 30s were up slightly at 4.744%. New recent highs in 2/10 at 54.3 and 5/30 at 105.0, but it has pretty much been a sideways slog in curve trades for the past couple of months. Attached chart shows POTENTIAL head and shoulders formation in TLT and the 30-yr yield, equally obvious on the Ultra-bond future continuous chart (WN). I’ve noted that Japan’s longer dated yields continue to make new highs; 20y JGB now 2.82% from 2.57 at the end of October. If US bonds decisively break the necklines, then 4.98 to 5% is a reasonable target on US 30’s.
Adding up the ‘one-offs’
November 18, 2025
*********************
–Weak front end yesterday with SFRZ5 and SFRH6 both settling -1.0 at 9617.5 and 9638.0. Overall activity was light, but some of the near calendars posted new recent lows, for example, SFRH6/M6 at -24.5, down 1.0 (9638/9662.5) and SFRH6/H7 one-year calendar at -51.5, down 2.5 on the day. While the two front contracts settled lower, reds (2nd year) were +1.5 (9687.5), greens +2.0 (9673.625) and blues +2.375 (9655.75). The implication is a rather modest tilt to the ‘no-ease-in-December’ camp. The conclusion one might draw is, ‘no ease now means more later’ but the near 1-yr calendars just aren’t indicative of aggressive easing. SFRZ5/Z6 is -70 (9617.5/9687.5) and as mentioned H6/H7 is -51.5, so 3 or 2 eases.
–Fed VC Jefferson comments were very straightfrd and simple:
Thinking more broadly, I see the balance of risks in the economy as having shifted in recent months with increased downside risks to employment compared to the upside risks to inflation, which have likely declined somewhat recently.
I expect that the unemployment rate is likely to inch up slightly by the end of the year from the relatively low 4.3 percent rate recorded in August. While still solid, I continue to view the risk to my employment forecast as skewed to the downside.
The current policy stance is still somewhat restrictive, but we have moved it closer to its neutral level that neither restricts nor stimulates the economy. The evolving balance of risks underscores the need to proceed slowly as we approach the neutral rate.
–Waller sounded the same concerns, but is clearly more concerned about a weak consumer in an environment of a poor job market.
…the labor market is still weak and near stall speed. Second, that inflation through September continued to show relatively small effects from tariffs and support the hypothesis that tariffs are having a one-off effect raising price levels in the U.S. and are not a persistent source of inflation.
This reading of the data leads me, at this moment, to support a cut in the FOMC’s policy rate at our next meeting on December 9 and 10 as a matter of risk management.
–The idea of a risk-mgmt cut could easily go either way. The problem is, funding and leverage issues could force the Fed’s hand. Stocks are starting to wobble a bit more. Bitcoin traded sub-90k this morning. But there are also more ‘one-off’ problems popping up. For example Blue Owl gated one of its funds yesterday. By its nature, private credit and equity are long-dated assets, apparently re-branded as having liquidity much nearer on the time horizon. That is, of course, unless you really want your money now. OWL was 26.58 in January, but is now just OW as it closed 13.77 yesterday. Robinhood started the year at 41, but the cutting-edge bros are experiencing a small setback there as well: HOOD is down about 20% from the start of this month, from 147 to 116. (Yes I’m long HOOD puts).
–Jobless Claims were already released this morning at 232k. ADP WEEKLY later. FOMC minutes tomorrow with NVDA following.
Nobody likes data centers
November 17, 2025
*********************
–Early Friday swoon in stocks was substantially reversed at day’s end. However, bonds closed near the lows of the day with TYH6 112-15 (-7.5) and USH6 116-05 (-19). Ten year cash yield ended at 4.146%, up 3.8. SOFR strip was -1.5 to -2.5 from H’26 through the next five years. Peak contract SFRH7 settled 9688, -1.5. So that’s 3.12%, only 75 bps lower in yield than current EFFR and just 50 bps below current 2y yield of 3.61%.
— Dec treasury options expire Friday. Treasury rolls will become more active this week. The large long in TYF 113.5c and 114c paid the equivalent highs of 1’58 in the 113.5 straddle and 1’61 in the 114 straddle. Friday’s settles: TYF6 113.5^ 1’54 and TYF6 114.0^ 2’06 ref TYH6 112-15. Futures are rebounding somewhat this morning and premium will likely be pressed lower. News this week includes Fed minutes on Wednesday, followed by NVDA earnings. Sept NFP released on Thursday.
–Worth a mention that Japanese yields are making new highs today: 10y JGB 1.731, up almost 10 from end of October and up 35 bps from beginning of July. 20y JGB 2.743%, up nearly 20 from the end of October.
–EFFR was one bp higher on Thursday at 3.88. SOFR Rate at 4.0 set exactly equal to the Standing Repo Facility. January Fed Funds settled 9624.5. If EFFR were 3.875, or 9612.5, then FFF6 is pretty much indicating 50/50 for a cut on Dec 10. This one could go either way. Anecdotal conversations almost always include complaints about high prices and job seekers seem extremely discouraged as well.
–Just a couple of additional items. The German gov’t agreed to subsidize energy prices for heavy industry (from end of last week) after having done everything else possible to ensure high green power prices for everyone else. Political races in the state of Georgia indicate concentrated resistance to high energy prices and data centers.
From Wired: A new report finds that local opposition to data centers skyrocketed in the second quarter of this year.
https://www.wired.com/story/the-data-center-resistance-has-arrived
“The number one issue was affordability,” he [Peter Hubbard] says. “But a very close second was data centers and the concern around them just sucking up the water, the electricity, the land—and not really paying any taxes.”
Bigger risk premium for long assets
November 16, 2025 – Weekly comment
******************************************
NOTE: RJ O’Brien is now a division of StoneX, a publicly traded company (SNEX). Any readers looking to discuss a new clearing arrangement with RJO/StoneX please contact me directly. amanzara@rjobrien.com
Quick notes this week. The treasury futures roll should be quite active and interesting this cycle with several factors at play. First, aggregate open interest in TY, UXY and WN are at record levels outside of the spikes associated with the last roll cycle (charts below). Second, the odds of a December rate cut have become quite fluid, with Jan Fed Funds now indicating around 50/50 for a 25 bp cut at the December 10 FOMC. Third, pressure on repo rates continues with SERX5 (one-month SOFR) settling Friday at 9601 or 3.99%, just 1 bp lower than the Fed’s Standing Repo Facility (4.0%). On Wednesday, NY Fed President Williams met with Wall Street banks to discuss usage of SRF and issues relating to repo, as transactions occur well above 4%. From Reuters: “Roberto Perli, the official responsible for implementing monetary policy, said on Wednesday that firms needing to use the central bank’s standing repo facility should tap it when needed, adding that large-scale usage would not be problematic.” I.e. no stigma.
On the week, the US 10y yield rose about 4.5 bps to 4.146% and 30y rose 4.6 to 4.745%. However, other bond markets had larger moves. Japan 10y yield was 1.085 at the end of 2024, ended Friday at a new high 1.704. The 20y has gone from 1.882 at the end of ’24 to 2.715 (also a new high, +10 bps on the week).
UK 10y Gilt now 4.57, up nearly 20 bps from Tuesday’s low of 4.39. Reeves scheduled to release the budget on November 26. Bunds also finished the week on the low, with the 10y yield at 2.719, up 5.4 on the week.
On Friday KC Fed’s Schmid gave a speech with a section on the Balance Sheet; he favors “…the smallest and least distortive balance sheet” for the Fed’s operations.
https://www.kansascityfed.org/speeches/maintaining-the-balance-in-monetary-policy/
Here’s a clip [argues for steepeners at a time when global long end yields are already seeing upward pressure]:
Even without changing the overall size of the balance sheet, the Fed can take action to lessen its footprint in financial markets. Currently, our asset holdings are disproportionately weighted towards long-duration assets, which distorts the price of duration, lowering long-term rates and artificially flattening the yield curve. By shifting our holdings toward shorter-duration securities we can decrease this distortion.
A couple of BBG snippets cited by Credit Bubble Bulletin:
November 14 – Bloomberg (Rene Ismail): “CoreWeave bonds issued earlier this year hit fresh record lows Friday and were leading high-yield decliners amid a tech stock-led selloff in global markets. The data-center firm’s 9% note due 2031 fell 1.75 cents on the dollar to 93.25 cents…”
November 14 – Bloomberg (Gowri Gurumurthy): “US junk bonds tumbled Thursday, posting their worst one-day loss in nearly five weeks… Yields jumped the most in five weeks to 6.89% and risk premium climbed to 291 bps. Losses swept across ratings tier, with CCC yields rising 18 bps to a near three-month high of 10.29%. Spreads widened 15 bps, the most in five weeks, to 652.”
CRWV went public in March. The stock hit 187 in June, and ended Friday at 77.36. At the start of October, CRWV 9.0% of 02/01/2031 was 103.67. Ended Friday at 94.08, a yield of 10.5%. If I collected the right data, 5y CDS now 622 bps from 393 one month ago.
Other signs of stress: On Dec 31, 2024 (according to BBG) the range in bitcoin was 91818 to 96142. Friday’s low was within this range, at 94147, essentially flat on the year, having reached a high of around 125k in October. In July Michael Saylor’s MSTR was 450. Ended Friday just below 200, a new low for the year. Market cap $57.4B. Debt at end of 2024 including convertible debt was $8.22B.
EUR/CHF new low this week of 0.9180, lowest since the 1.20 peg broke in 2015. By 2018, it had climbed back to 1.20, but has slid ever since.
From Thursday’s WSJ ‘Chinese Hackers Used Anthropic’s AI to Automate Cyberattacks’. Ruh-roh.
News this week includes FOMC minutes on Wednesday, immediately followed by NVDA earnings. On the consumer side, TGT pre-open on Wed and WMT post-close Thursday. Sept NFP will be released on Thursday morning.
Below are futures charts with Aggregate Open Interest (blue lines).
FVZ5 DV01 42.9, FVH6 45.1.
Note on TY: primarily due to the big covered call buyer in TYF6 113.5 and 114 calls, there is already open interest in TYH6 of 214k contracts. (Long ~200k TYF 113.5c and ~115k TYF 114c). Market makers hedging negative gamma in TYH6 might have a marginal tendency to compress the spread on hard price rallies and bid the spread on price breaks.
DV01 TYZ5 66.7, DV01 TYH6 68.0 (March 2% higher duration
DV01 UXYZ5 89.5 DV01 UXYH6 91.2
USZ5 DV01 126.4, USH6 DV01 140.5.
Note, the CTD changes to longer duration bonds on a yield rise of less than 20 bps. The one-to-one bond roll will likely be quite volatile. But even duration weighted will likely see plenty of movement.
WNZ5 DV01 184.7, DV01 WNH6 184.5
Last week I mentioned CME’s credit products. This is the time for these contracts!
Since September, HYBZ5 has traded in a range from ~730 to 740. This contract settles to BBG US Corp High Yield Very Liquid Index (LHVLTRUU <index> ). Contract size $150 * index. There’s not much open interest, just 2400 contracts. However, I think it’s worth watching as a reasonable risk/reward short in case of a stock market blow-up. In late March, the June contract was 700 but traded below 670 in early April.
Settled 732.40 on Friday, low of 731.
https://www.cmegroup.com/markets/interest-rates/credit.html
| 11/7/2025 | 11/14/2025 | chg | ||
| UST 2Y | 355.5 | 361.0 | 5.5 | |
| UST 5Y | 367.9 | 373.1 | 5.2 | |
| UST 10Y | 410.4 | 414.6 | 4.2 | |
| UST 30Y | 469.9 | 474.5 | 4.6 | |
| GERM 2Y | 198.7 | 203.4 | 4.7 | |
| GERM 10Y | 266.5 | 271.9 | 5.4 | |
| JPN 20Y | 261.5 | 271.6 | 10.1 | |
| CHINA 10Y | 180.5 | 180.6 | 0.1 | |
| SOFR Z5/Z6 | -66.0 | -67.5 | -1.5 | |
| SOFR Z6/Z7 | 7.5 | 7.0 | -0.5 | |
| SOFR Z7/Z8 | 19.5 | 19.0 | -0.5 | |
| EUR | 115.66 | 116.21 | 0.55 | |
| CRUDE (CLZ5) | 59.75 | 60.09 | 0.34 | |
| SPX | 6728.80 | 6734.11 | 5.31 | 0.1% |
| VIX | 19.08 | 19.83 | 0.75 | |
| MOVE | 74.41 | 79.71 | 5.30 | |
It’s getting illiquid in here. Almost TOO illiquid
November 14, 2025
*********************
–Reserves: from abundant to ample in years. From ample to scarce in about two weeks. The market trades as if liquidity is becoming questionable. FFF6 (Jan Fed Funds) settled -3.0 at 9626, now reflecting around 50/50 in terms of a rate cut in December. [current EFFR is 3.87. A cut in Dec means 3.62 or 9638. Current price about halfway between 9613 and 9638] SERX5 settled 9601 vs FFX5 9612.5, a spread of -11.5. This spread is essentially unch’d, but daily SOFR settings have been edging higher, 3.98 on Wednesday from 3.93 last week. SFRZ5 settled 9619.5, down 3.5 on the day. Yesterday there was a buyer of 10k Nov 9618.75p for 1.0, which expire today. Of course, to gauge liquidity in the system, rather than focusing on the minutiae of rate futures, it’s easier to just glance at ESZ5 and NQZ5, both down 1.7%.
–Tens ended 4.108%, up 3 bps and thirties 4.701% up 4 bps. 2/10 spread up 2.2 at 52.3, range so far in Nov is just 50.1 to 53.7. There’s not much in the way of ‘flight-to-quality’ in treasuries, though there was a new late buyer of 14k 0QH6 9725/9800cs for 7.5 (7.0s vs SFRH7 9689.5). As I mentioned yesterday in an X post, the ftq bid is in Berkshire which holds $380b of t-bills. In a down market, BRK/B was UP 2.1%.
–SFRH6/M6 spread edged to a recent new low -24 (9641/9665). This is the lowest level since the Sept 17 FOMC. Actual low settle in the spread was 8/28 at -27.5. This spread is interesting as it captures Powell’s end of Chair term, and some expect immediate large eases at that time. Prior to that, the 12 regional Fed Presidents are up for re-appointment in February. Bostic has already said he’s retiring. Collins, Hammack, Logan, Kashkari, Schmid, Musalem have all expressed inflation concerns, which is being reflected in the 50/50 FFF6 pricing. If you’re going to get booted in Feb anyway, why give the gift of an ease? (Collins, Musalem and Schmid are voters).
–WSJ reports yesterday that Verizon is cutting 15k jobs. One other trade of note: New buyer 13k SFRZ6 99/100/101 call fly 1.5 to 1.75. Anyone looking for ZERO on the dot plot for end of next year?
current regional presidents.
St. Louis: Alberto G. Musalem
Atlanta: Raphael Bostic
Boston: Susan M. Collins
Chicago: Austan D. Goolsbee
Cleveland: Beth M. Hammack
Dallas: Lorie K. Logan
Kansas City: Jeffrey R. Schmid
Minneapolis: Neel Kashkari
New York: John C. Williams
Philadelphia: Anna Paulson
Richmond: Tom Barkin
San Francisco: Mary C. Daly
Yes, We’re Open
November 13, 2025
*********************
–Continued build of long TYF6 114.0c covered. Yesterday paid 27 for 28k covered 112-28, 29d (1’62^). There are also some sellers coming in, for example an early buyer 15k TYF 113/114/114.5c tree covered 112-255, 3 paid 15k. In any case, I believe total position is ~200k TYF 113.5c and 120k 114c. Highest price paid in 114 straddle equivalent 1’62.
Yesteday:
TYH6 112-30s OI 206k, +32k
TYF 113.5c 0’36s OI 261k
TYF 114.0c 0’26s OI 192k (+53.7 yesterday)
–Gov’t re-opens. 30y auction today. TY held its bid through the auction yesterday with TYZ settling 113-00, +1 on the day. 10y cash yield 4.065% (4.079 wi). Bessent said treasuries are more liquid and robust than ever, and repeated a call for enhanced SLR [so domestic banks can absorb the supply]
–Though gov’t is re-opening, October Jobs and CPI reports will not be released.
–Bostic says he’s resigning at the end of his term in February…all of the Fed Presidents are up for appointment at that time, and I suspect there will be significant turnover. Collins said she favors the Fed holding rates steady. With the potential of a more dovish Fed, some had speculated on aggressive easing at the end of Powell’s term in May. Yet SFRH6/M6 has barely deviated; for the last two months the entire range is -24.5 to -20.5 (-23.0s). Same thing with SFRH6/U6, just sideways from -41 to -33.5, (-38.5s). It wouldn’t be impossible to see 100 bp of cuts in that six month window.
–Interesting comment from Miran: he said that current end of QT isn’t particularly stimulative as MBS roll-off will now be replaced with bill purchases. That is, the private market will need to absorb new mortgage paper even as the Fed’s total balance sheet remains constant.
–Oil was crushed yesterday, with CLZ5 -2.55 at 58.49. However precious metals soared. This morning, SIZ5 is 54.05 at new ath, having exceeded the mid-Oct high. GCZ5 is 4243 this morning, +29.4. The mid Oct-high print is 4398.
–Somewhat funny SBUX notes: Yesterday SBUX stock jumped on news that coffee (and other) tariffs might be relaxed. I don’t know where the stock is this morning, but a BBG headline blares: SBUX workers to strike in 40 cities targeting ‘red cup day’.
–The problem isn’t the price of the coffee input, it’s the price of labor, both specifically in SBUX and in general, as specialty coffee drinks become an unaffordable luxury.
Nov 11
TYH6 112-31
TYF6 113.0^ 1’42s
TYF6 113.5^ 1’48s
TYF6 114.0^ 1’60s
Nov 12
TYH6 112-30
TYF6 113.0^ 1’38s
TYF6 113.5^ 1’44s
TYF6 114.0^ 1’56s
Large interest rate option trades
November 12, 2025
******************
–Though cash treasury market was closed, it didn’t stop the covered call buyer, who moved up a strike to TYF6 114c:
TYF 114c cov 112-30.5 31% paper pays 29 on 50k (1’61^)
TYF 114c cov 112-31.5 30% paper pays 29 on 40k (1’59^)
–TYH6 settled 112-31, +11.5, with an increase in OI of 37.5k.
TYF6 114c 0’29s, with delta 0.32. Open interest in the strike is 138k, up by 87k. I.e. all changes in OI, both futures and options are due to this trade. Today’s premium outlay is about $40m, added to ~$100m in TYF6 113.5c.
Yesterday’s straddle settles:
TYF6 113.0^ 1’42s
TYF6 113.5^ 1’48s
TYF6 114.0^ 1’60s
–TYZ5 rose 11/32s yest to 113-01, equivalent to about 5 bps. The bullish spark was the WEEKLY ADP report which showed a preliminary decline of 11,250 jobs. China’s curtailment of rare earth magnets to the US Defense industry might have a tangential effect as well, and though the TY call buys are covered, I tend to think that a flight-to-quality event could be lurking.
https://www.adpresearch.com/the-ner-pulse
–There were some other large trades in SOFR options, biased to upside:
SFRF6 96.625/96.75/97.00 call fly 2x3x1 cvr 96.435 d9 ppr paid 2.25 up to 2.75 on ~30k Settles 7.0/4.5/2.5 (3.0s) vs SFRH6 9646.5
0QZ 9700/9725cs 5.25 paid 10k. (8.5/2.75) or 5.75s vs 9692.0 in SFRZ6 which was +5.0
0QZ5 97.00/97.375/97.5625cf fut 96.915 .25d +6/17k. Settled 6.0 vs 9692
–SOFR strip pretty much had a parallel shift. All contracts from SFRH’26 through golds (5th year) were +4 to +5.0). Peak contract is SFRH7 at 9693.5, +5.0.
–BLS puts out a New Tenant Rent Index, obviously unavailable with the shutdown. These are somewhat interesing links from Zillow and Redfin:
https://www.zillow.com/rental-manager/market-trends/united-states
https://www.redfin.com/us-rental-market
–Truflation index is 2.23% as of October. 10y breakeven as of Monday was 2.30% (treasury – tip yield)
From Illinois Policy Institute:
Chicago’s sales tax will be the highest among major U.S. cities if the governor, as expected, signs the RTA funding bill. (10.5%) [Talk progressively, tax regressively. I would add that property taxes are onerous (from google): Illinois consistently ranks as having one of the highest effective property tax rates in the United States]
VETERANS DAY
November 11, 2025
************************
Any nation that does not honor its heroes will not long endure – Abraham Lincoln
Did they get you trade your heroes for ghosts? – Pink Floyd. Wish You Were Here
–The total position in TYF6 113.5c after yesterday is around +200k calls vs -65k TYH6. Early yesterday paid 28 for 50k covered 112-15 with 30d. I believe that straddle price of 1’58 is the highest price paid so far. TYF6 113.5c settled 30 vs 112-195 (1’53 straddle). Total open interest in TYH6 is now 137k (+61.6k yesterday), obviously mostly due to this trade. Could have an impact on upcoming roll. Currently TYH6 DV01 is $68.10 vs TYZ5 $66.80, so about 2% higher duration for TYH. On price rallies the 1×1 spread will naturally be pressured, perhaps even more so due to market-makers buying futures to hedge gamma. Late in the day there was also a buyer of TYF6 111.5p, paid 22 for 25k. Atm TYF6 112.5^ settled 1’39.
–The potential re-opening of gov’t along with haphazard stimulus proposals by you-know-who put a bid in risk assets. At the time of settlement for rate futures, NQZ5 was up about 2.16% at 25710. ESZ5 +1.56% at 6859 and Dec Gold was +2.7% at 4115. Current GCZ5 Is 4146. Stocks a bit lower on CoreWeave disappointment and on China planning to curtail supply of rare-earth magnets used in US military applications.
–A couple of interesting tangential notes: A ZH article this morning says the Trump admin will lend billions to build nuclear power plants. US Sec’y of Energy Chris Wright is quoted as saying “We have significant lending authority at the loan program office.” The article notes, “…the clock is ticking for the US to catch up to China, which currently has 29 reactors under construction to America’s zero.”
https://www.zerohedge.com/markets/trump-admin-lend-hundreds-billions-build-nuclear-power-plants
Coincidentially, there’s this X post: ‘Nuclear Plants are Silver DEVOURERS’ Each large reactor (1600-1800 MW) requires 3-5 million ounces [of silver].
I don’t know if this is true or not, here’s the link:
–I DO know that SIZ5 is +54cents this morning at 50.85, and is chewing into the range of the big reversal day (17-Oct) where the high was 53.765. Just for fun I looked at otm SIH6 Silver calls. Not much open interest, but SIH6 80c have 712 contracts open and are around 30 cents vs 51.47 !!
–Nov SOFR midcurves expire Friday. 0QX5 9687.5 straddle settled 7.0 vs SFRZ6 9687.0. 3QX5 9662.5 straddle settled 6.5 vs 9661.5 in SFRZ8. Perhaps a bit low given potential data dump.
A follow-up on the Louvre heist.
https://apnews.com/article/louvre-fedora-man-ap-photo-c0d59847ef5f836a0c5ac49de8bff441
