Little fear of CPI
September 11, 2025
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—ECB today.
–PPI lower than expected, yet yields little changed in front end. SOFR contracts in first three years from Z5 to Z8 up 1 to 1.5 bps. 2y yield -1.1 at 3.531. Solid 10y auction, 4.046 immediately before, and actual result was 1.3 bps through at 4.033. 2/10 at new recent low around 50 bps. Related example is new lows from reds to more deferred SOFR contracts. For example, reds (2nd yr) to blues (4th yr) settled at a spread of just 27.25 bps, with reds 9708.75 and blues 9681.5. When the Fed eases or is expected to ease aggressively, these forward calendars generally steepen. Current spreads suggest a Fed that will slowly ease against a backdrop of tepid growth at best.
–Sept SOFR options expire Friday. 0QU 9700^ settled 8.0 ref SFRU5 9701.5.
–CPI today expected 0.3 from 0.2. YOY 2.9 from 2.7%. Ex-Food and Energy expected 3.1 from 3.1. The market has clearly dismissed inflation concerns.
–30y auction. Current bond yield is 4.677%, which was down 4 yesterday.
–Hoping that Charlie Kirk’s assassination doesn’t lead to an acceleration of the US political divide in a more violent way. Falling near today’s anniversary of 9/11, it signals a change of focus on internal vs external risk.
In: Eurodollar Options
BLS revision to -911k jobs not enough to sustain hopes for 50
September 10, 2025
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–Is ANYONE working? Benchmark revision from the BLS shows 911k fewer jobs than originally reported. Perhaps that was better than expected as yields ROSE on the day, led by shorter maturities. 2y note up 4.9 bs to 3.542% while tens +2.6 to 4.072% in front of today’s auction. Thirties tomorrow. On the SOFR strip SFRM6 weakest, -7 at 9683.0. Red pack settled -5 at 9707.625 while golds were -1 at 9659.875. 2/10 at 53 bps is now near the lower end of the last month’s range (high 61.7). I suppose there’s an incentive to get the bad news (lower job revisions) out of the way and build off a lower base, though the economic foundation seems a bit shakier.
–Significant exits of bets for aggressive ease, even aside from curve trades. With Sept SOFR options expiring Friday and SFRU5 not able to settle above 9600, U5 calls shed 77k lots (9597.25s). TUV5 104.75c, 26k sold on exit at 2.5 ref 104-125…bought last week 3.5 to 4.0. TUZ5 104-131s. However, at a price of 9595, FFV5 still prices a small chance of 50.
–Poland asks to invoke Article 4 of NATO treaty after Russian (or Belarus) drones violated its airspace, several of which were shot down. (Newsweek) “Unlike Article 5’s collective defense element, NATO’s Article 4 does not trigger military action, but initiates a formal alliance discussion when one member considers its territorial integrity or security is threatened.” Discuss
–News today apart from geopolitical escalation: PPI expected +0.3. YOY expected 3.3 from 3.3, ex-food and energy 3.5 from 3.7. CPI tomorrow. SFRU6 settled 9700. Midcurve straddle expiring Friday settled 9.0, probably about right. Last week’s high 9710.5, and low was 9685.5.
–Attached chart is US Bankrate 30y mortgage vs US 10y yield, now at a spread of around 250 bps, which is still rather high, even though the mortgage rate has moved to the low of this calendar year at 6.55%.
Ed Sheeran moving his family from the UK to the US (partially due to touring). UK gets Rosie O’Donnell and Ellen DeGeneres. US gets Sheeran. Winning.
In: Eurodollar Options
Would you care to take this outside?
September 9, 2025
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–Surprising outperformance by the long bond, with the 30y yield down 8.2 bps to 4.689% in front of this week’s auctions. By comparison, 5s fell just 1.4 to 3.568% and 10s -3.8 to 4.046%. Within a week, since Tuesday 2-Sept, the 30y yield has plunged from 4.962 to 4.689 or over 27 bps. The last rally of similar magnitude and time frame was just before Liberation Day (4.722) to April 4 (4.411) or 31.1 bps. (Yields immediately bounced from there). Strongest contracts on the SOFR strip were reds, with the pack +2.875 to 9712.625. I’m tempted to short bonds, but we all know the admin is hell-bent on getting mortgage rates lower and Bessent, bless his heart, can apparently shed his soft-spoken demeanor when he wants to make a point:
https://www.politico.com/news/magazine/2025/09/08/scott-bessent-bill-pulte-blowup-00549956
–FFF6 which prices end-of-year EFFR settled +1.5 at 9639.5. Current is 4.33% equating to price of 9567.0, so Jan has 72.5 bps priced, almost exactly 3 cuts. Today’s BLS benchmark revisions to the establishment survey expected to show a loss of around 700k jobs. Three-year $58b auction as well.
–Protective downside trades in case the Fed doesn’t cut as much as is currently being priced are still prevalent. For example, yesterday a buyer of 50k SFRZ5 9618.75/9606.25ps for 2.5 (settled there ref 9638.5). In case the Fed is forced to slash rates, this trade went through: 0QU6 mullet 9700/9750/9800/9850 c condor 1x1x2x2 20k sold at 8.5 (roll up). The underlying on this trade is SFRU7 which settled 9710; the options expire on 11-Sept 2026 (one year away). The 9700/9750cs settled 20 and the 9800/9850cs settled 5.5. In comparison, SFRU6 settled 9706.5, or 3.5 lower than U7. The regular 9800/9850cs expiring 11-Sept-26 on SFRU6 (same as mullet) settled 4.25. If I was forced to buy one or the other I would choose SFRU6 cs, because if the global economic wheels derail, I think U6 will go up faster.
–NFIB Small Biz Optimism improved, released this morning at 100.8. I am leaning toward a more negative assessment of the economy, but this is one of the key findings of the NFIB survey:
“In August, there was a notable improvement in overall business health. When asked to rate the overall health of their business, 14% reported excellent (up 1 point), and 54% reported it as good (up 2 points). Twenty-seven percent reported the health of their business as fair (down 4 points), and 4% reported poor (unchanged)”
Quick notes. NFP seals ease.
September 8, 2025
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–Weak employment report (22k NFP and 4.3% rate) removed any doubts of an ease next week, and caused some to speculate on 50 bps. SOFR curve steepened. SFRH6 was the strongest contract, +11.5 to 9663.0. H7 (peak contract on strip) +6.0 to 9713, H8 +5.0 to 9697.5 and H9 +6 to 9677. By the way, the SFRH6 price of 9663 equates to 3.37%, almost 100 bps lower than the current EFFR of 4.33%. Pricing is NOT telegraghing a series of powerful rate cuts. The fact that spreads like 2/10 didn’t press to new highs (ended at 57.5, down 0.7) is another signal that easing bets are more circumspect in terms of magnitude and timing. Ten year yield ended the week at 4.084%, down 9 on the day.
–Concerns over western finances continue to get press. BBG: French Gov’t on Verge of Collapse Over Budget. ZH: Merz Plunges Germany into a Debt Crisis. BBC: UK borrowing costs hit 27 year high. In the US there are more stories about increasing prices for electricity.
–On Tuesday, BLS releases a preliminary benchmark revision to establishment survey employment data (expecting another downward revision). Consumer Credit this afternoon. Auctions of 3s, 10s 30s begin tomorrow. PPI Wednesday and CPI Thursday.
–The week before last there was a buyer of 100k TYV 114c for 13 covered 112-16. Just thought I’d check performance on a static basis. On Friday, TYV 114c settled 23 vs 113-135. So, +10/64 on 100k on the call (+1), -59/64 * 18000, or -1.062. Call delta is now 34.
The Price is Right
September 7, 2025 – Weekly comment
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Payrolls were weaker than expected, though better than the worst fears, at +22k. The unemployment rate hit a cycle high of 4.3%. The last time the rate was here was in late 2021, before the hiking cycle began. I don’t feel the data were weak enough to justify a 50 bp cut at next week’s meeting, and neither does the SOFR curve, but risk management is forcing the market to assign small odds to that outcome.
FFV5 (Oct Fed Funds) settled 9596.0 or 4.04%, 29 bps below the current Fed Effective of 4.33%. If the Fed were to cut 25 at next week’s meeting (9592 or 4.08%) and another 25 on October 29, EFFR would be 3.83% or 9617.0. FFX5 (November Fed Funds) settled 9614.0, rather near the two-cut level. A total of 75 bps in cuts by year-end (last FOMC of the year is 10-Dec) would be 3.58% or a price of 9642.0. January’26 FF contract settled 9638.0, just four bps away. On the week, FFF6 ended up 13.5 bps. In other words, even before soft employment data, the three-cut scenario was given substantial odds, and current pricing appears quite comfortable with that outcome.
Of perhaps greater interest than the next few months/meetings, is forward pricing. I had noted during the week that even though treasury yield curve spreads remained firm and near the year’s highs, that the red SOFR pack to deferred contracts was actually edging lower (calendar spreads). When the market expects aggressive easing, reds typically strongly outperform to the upside. Didn’t happen this week.
The above chart is the rolling red SOFR pack. While it settled at a new high for this calendar year at 9709.75, it’s not quite thru the Sept 2024 high of 9719.5, which was made 9/10/24. That was just before the first cut had occurred, so the forward rate in Sept ’24 was more than 2.5% lower than the FF midpt of 5.375%. Currently, the FF midpoint is 4.375%, so Red Pack is a much more reasonably priced 1.5% lower, and likely not all that far away from the neutral rate. Interestingly, 2/10 treasury spread ended lower on the week, as did 5/30, both by just under 3 bps at 57.7 and 119. Red/Gold SOFR pack spread eased by 5.625 bps to settle at 51.0. In other words, Friday’s data did NOT spark a panic easing bid. Another indicator is the MOVE index, which rallied impressively from 79.39 the previous Friday to 89.67 on Thursday, but ended at 85.29.
The ten year yield finished the week at 4.086% (ref TYZ5 settle 113-125). That yield was down 14.2 bps on the week, essentially knotted-up to what will very likely be the new EFFR of 4.08%. 10/30 treasury spread ended at 68.7 (ref USZ5 settle 116-14), just a little off the year’s high which was set in the previous week at 69.7.
From this week’s title and examples of post-NFP pricing, one might conclude there’s not much left to do besides sell premium and collect decay as prices languish around ‘fair value’ in US rates. While that might be an appropriate strategy, there are still many geopolitical and economic events that could shake things up. For example, Japanese PM Ishiba stepped down over the weekend. Political and budget turmoil in France has led to Monday’s Confidence vote, which Bayrou is expected to lose. Russian forces hit government buildings in Kyiv.
In the US, data include PPI on Wednesday and CPI Thursday. CPI yoy expected 2.9% from 2.7% with Core 3.1 from 3.1. Prelim UofM data on Friday. Auctions are also on tap this week, with $58b of 3s on Tuesday, $39b 10s on Wednesday and $22b 30s on Thursday.
OTHER THOUGHTS/ TRADES
Large buys of Oct TU calls on Wednesday with the 2y yield around ~3.61 proved prescient, with 2s ending Friday at 3.507%. Trades were:
TUV5 104.500c 6.5 /+16k
TUV5 104.625c 4.5 to 5 /+16k
TUV5 104.750c 3.5 to 4 /+43k
Friday’s settles ref 104-153 were 10.5, 7.5 and 5.5 with no signs of exit in the calls, though perhaps there were some delta-hedging futures sales.
SFRU5 options expire Friday. A huge amount of open interest will vanish: SFRU5 calls still have 5.7 million open, though 54k positions fell off the board on Friday. SFRU5 settled 9598.75. U5 9600c settled 2.0, 9606.25c 1.0 and 9612.5c 0.5. I am still expecting final settle to be close to the 9606.25 strike.
Mentioned last week: As a targeted upside play, TYV 113.5/114/114.5/115 c condor settled 4/64’s ref 112-16. Settled 7 vs 113-125 with good potential to target the sweet spot just above the 114 strike.
In the early April Liberation Day turmoil, the front TY contract high was 114-10. The low 10y yield associated with that month posted the low of the year at 3.997%.
| 8/29/2025 | 9/5/2025 | chg | ||
| UST 2Y | 362.1 | 350.7 | -11.4 | |
| UST 5Y | 369.9 | 358.2 | -11.7 | |
| UST 10Y | 422.6 | 408.4 | -14.2 | wi 408.6 |
| UST 30Y | 491.5 | 477.1 | -14.4 | wi 477.4 |
| GERM 2Y | 193.7 | 192.7 | -1.0 | |
| GERM 10Y | 272.3 | 266.1 | -6.2 | |
| JPN 20Y | 260.1 | 264.3 | 4.2 | |
| CHINA 10Y | 178.0 | 177.0 | -1.0 | |
| SOFR U5/U6 | -103.0 | -105.25 | -2.25 | |
| SOFR U6/U7 | -6.5 | -3.5 | 3.0 | |
| SOFR U7/U8 | 23.5 | 20.5 | -3.0 | |
| EUR | 116.86 | 117.17 | 0.31 | |
| CRUDE (CLV5) | 64.01 | 61.87 | -2.14 | |
| SPX | 6460.26 | 6481.50 | 21.24 | 0.3% |
| VIX | 15.36 | 15.18 | -0.18 | |
| MOVE | 79.39 | 85.29 | 5.90 | |
Yields going down faster than you can say LULU Lemon
September 5, 2025
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–Payrolls today expected +75k with a rate of 4.3%. Perhaps unsurprisingly, interest rate futures went out on the beat highs, as whisper numbers are low. They’ve been inhaling calls. FFV5 settled exactly at 4.08% or 9592.0, representing a 25 bp cut on 17-Sept. However, FFF6, which covers both the 29-Oct and 10-Dec FOMCs, settled 9627.5 or 3.725%. If the Fed were to cut 25 at each of the next three meetings, EFFR would be 3.58 or 9642. Meaning…there’s still upside if numbers are awful. At futures settle: 10y -3.7 bps to 4.174%. Peak SOFR contract H7 9797, +3.
–Somewhat interesting that the SOFR curve from reds to deferred is edging flatter. For example, reds to golds (2nd to 5th years) is just over 51 bps, off from the high of 60 in Aug. However, the 2/10 treasury spread is 58.4, only about 3.3 off the high of 61.7 made last week. 5/30 is hugging recent highs at 122 bps, as long-end markets of the western world compete for funding their bad budgets. Red to deferred SOFR calendars typically go BID in an easing cycle, so the flattening here might be a small warning for those betting on aggressive easing. Or, it might be tacit appreciation that the US Treasury will NOT let long-end rates move higher. In any event (THIS IS NOT A REC) I would favor something like +SFRZ6/-SFRZ9 which settled 49 (9704/9655). Worth watching….
–On a more mundane note, POWERBALL in the US is up to $1.7 billion. Note to self: take the front-end payment of $770 million. Below is a story about lurking credit risk, perhaps even when it’s clear that underlying assets are impaired (think CRE. And Illinois). In this case, it was the Publishers Clearing House…you know the one, where they walk up to the door with the oversize check and balloons flying. Who could ever suspect that a company that sells Readers Digest and TV Guide could ever encounter financial difficulties? Well it didn’t occur to John Wyllie. He had been receiving a $260k deposit every year for life. This year; no check. And no balloons. Next thing you know, you’re selling the jet skis. One thing I can’t blame him for…”why didn’t anyone ever give me a head’s up?” And….it’s gone.
I don’t think Mr Wyllie is in a position to accept PIK payments, or defer debts for a bit more juice on the back end, as is common in a lot of current private credit deals. What CAN happen is: one day the check just didn’t come. No more GI Joe with the Kung Fu Grip.
Imagine
Sept 4, 2025
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–Trading without much imagination in rates….just sort of pegging Sept and putting in a 25 bp ease every quarter. For example, SFRU5/U6 one-yr calendar settled -100.5 (9592.5/9693.0). SFRZ5/H6 settled -25.0 (9624.5/9649.5). SFRH6/M6 settled -26.5 (9649.5/9676.0). Many prices are in neat 25 bps increments. Z5/Z6 is almost -75 (-76.5) and H6/H7 is almost -50 (-54.5) and M6/M7 is almost -25 (-27.0). As if we don’t really know where this can go, but easing cycles typically favor the near term once they start, so we’ll just price it this way.
Consider these settlements
SFRU5 9592.5 (4.075%, essentially matching what will be the new EFFR after the Fed cuts 25)
SFRZ5 9624.5 (3.755%)
SFRH6 9649.5 (3.505%)
SFRM6 9676.0 (3.240%)
SFRU6 9693.0 (3.070%)
–I’ve previously mentioned the ten-yr yield seems pegged to Fed Effective of 4.33%, but now that an ease is pretty much in the bag, 10’s at 4.211% are in between what will be the new Fed effective of 4.08 and the current one of 4.33.
–A standout trade from yesterday was early buying of TUV calls, which expire 26-Sept. All new positions. TUZ5 settled 104-09. 2y yield cash 3.61, down 4.8 bps on the day
TUV5 104.50c 6.5/16k (7.5s)
TUV5 104.625c 4.5 to 5 for 16k (5.5s)
TUV5 104.75c 3.5 for 16k and 4.0 for 27k (4.0s)
I roughly calculated 104.625c strike (104-20) to be a yield of around 3.42 to 3.41 or around 20 bps lower. Previously we’ve seen (larger size) accumulation of OCT calls on TY…the 113, 113.5 and 114 strikes. TYZ5 settled 112-195 yesterday, with 10y yield 4.211%
–Maybe these buys are more than about payrolls. SFRU5 settled 9592.5. If NFP tomorrow is horrendous (negative) then I would anticipate a brief test of the 9612.5 strike.
–Today’s news includes ADP expected 68k from 104k. Jobless Claims 230 from 229 last while continuing claims march ever high…1954k last and now 1959k expected. ISM Services 51.0 from 50.1 with the employment component 46.7 from 46.4
Weak stocks, strong gold
September 9, 2025
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–Bounce from early weakness in stocks yesterday, with ESU5 continuing to firm overnight, now close to Friday’s lows. GOOGL relief rally of 8% as its antitrust trial ended without significant penalty (not required to divest Chrome). Gold made a new high and continues to press this morning with GCZ5 above 3600. On August 25 is was 3417, and it’s been a straight green run from there.
–Volume was pretty light but I will just mention a couple of trades: BLOCK sale 20k SFRH6 at 9646.25. Looks new. This reminds me of a few large outright sales after the initial 50 bp ease in Sept 2024, which were home runs. However, the price now equates to around 3.5%, and the Fed is extremely likely to move to 4.0/4.25% at the FOMC in two weeks. A cushion of 50 to 75 bps in the current environment might be enough, but maybe not.
–Buyer of 30k SFRU5 9600c for 1.5, settled there ref 9590.75. I continue to think U5 will settle between 9605 and 9612, but Friday’s payrolls will be a big factor. Slight new cycle high in 5/30 yesterday at 122.7 (3.743/4.97) as bonds tested 5% yesterday.
–JOLTS this morning with Beige Book in the afternoon. JOLTS expected 7400 to 7300 from 7437 last.
–FT has a headline: ‘US Banks could hide troubled loans under new reporting rules.’ Seems to me that’s already occurring, but certainly the Treasury playbook of extend and pretend has only become more integral to US finance. Bill Moreland of BankRegData has been sounding a vocal alarm about loan modifications that mask underlying weakness, but says there’s a chance it works out ok. This is a long interview, but here’s a link:
https://www.youtube.com/watch?v=f93kKmD4jDU
–UK is moving closer to a digital ID. “…a unified mandatory system like the proposed “BritCard” is being considered, there is significant public and privacy group opposition,” Can control your population, but you can’t control your long-end yields….
Bonds at Inflection Point
September 2, 2025
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–It’s not escaping the press that gold is making new highs, with GCZ5 currently +31 to 3547; most newsclips cite the likelihood of rate cuts. On August 22, just before Trump fired Fed Governor Cook, GCZ was 3381. Of course Trump’s moves to get a rubberstamp Fed are having an effect on both precious metals and bonds, with many now fretting over the February 2026 cycle for regional Fed President appointments.
–Curve steeper on Friday with 5/30 up 3.7 bps to a new high of 121.6. 2/10 ended 60.5, up 3.3 but off the week’s high of 61.7.
–New buyer Friday of 100k TYV5 114c for 13 covered 112-165 to 112-16, 18 delta. As mentioned yesterday, downside breakeven is 111-12. This morning TYZ5 is 112-04, down 12 and USZ is 113-13, -27. Current 30y yield is 4.975 (from 4.915 Friday). 5% should be around 113-02 in USZ5. Technical picture pointing to higher global yields at the long end.
–Chgo Tribune headline: Mayor Brandon Johnson to Labor Day crowd: ‘No federal troops in the city of Chicago!’ Apparently murders are down, with just 384 so far this year according to https://heyjackass.com/2025-homicide-map/ Johnson’s goal is to have less than 500 this year. I guess that’s fine. I went to a wedding Saturday which was on Michigan Ave just across from the Art Institute. Left plenty of time but was very nearly late due to south Mich Ave, (a crown jewel of Chicago) being closed down for protests. I have no idea why the city allows it. My immediate reaction is : Avoid downtown. My suggestion for a protest route, sanctioned by the city, is right along Jackson Blvd, from Sacramento to Kostner, where the map is red. Maybe some of the city’s blight will give the protesters a deeper sense of purpose. Of course those folks also might feel put out by the disruption….
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 | |
