CAR… “blind capital …seeks for someone to devour it.”
Could be a tinder tagline. But Walter Bagehot was editor of the The Economist in 1856.
Every now and then, from causes which are not to the present purpose, the money of people of this class — the blind capital…of the country — happen to be particularly large and craving; it seeks for some one to devour it, and there is “plethora” — it finds some one, and there is “speculation” — it is devoured, and there is “panic.” –Walter Bagehot
https://novelinvestor.com/stupid-money
–Warsh in front of Senate today. Yesterday he said price stability is Fed mandate without excuse. Which sounds a bit hawkish… but he’s not in the chair yet.
–TYM 111.5^ was sold through the day starting with 4k at 116, then 6k at 114 and 113, settled 114 vs 111-21. Both call and put showed an increase in OI >18k. May options expire Friday and TYK6 111.75^ settled 30 ref 111-21, 111.5^ also settle 30. So the 4 weeks of extra time value in June worth 48/64s. Seems low.
–Yields were unch’d to a bp higher. Ten year 4.247%, flat.
–Chart of the day is CAR, Cognitive Augmented Radiation, which (in controlled AI simulations) claims to cut power demands at data centers. In one month, it has screamed from 100 to over 600. One analyst has a year-end target of 2000, and it’s been rumored that Cathie Wood has taken a significant position.
JUST KIDDING CAR is Avis/Budget rent-a-car. According to BBG, 12m EPS -3.90. But…short interest as a % of float is 54%. One man’s craving is another man’s panic.
“who’s gonna tell you when, it’s too late…”
Back and fill from Friday
April 20, 2026
***************
–Friday’s ceasefire moonshot to new highs in stocks is being tempered this morning as the US seized an Iranian cargo ship over the weekend. On Friday CLM6 plunged 8.58/bbl to 82.59. This morning it has rebounded to 87.30. ESM last 7130, -31.50.
–On Friday yields fell with 2s and 5s leading. 2y ended 3.70%, down 7.6 bps and 5y at 3.838, -7.5. Ten year -6.2 at 4.245%. While the 2y is back in the FF target range of 3.50-3.75%, tens are still half percent higher. Curve steepened, with 2/10 at a slight new high 54.5 and 5/30 104.7. On the SOFR strip M7 was strongest, +10.5 at 9657.5. Peak contract Z7 is 9668, +10 on the day, rate of 3.32%, 32 bps under current EFFR 3.64.
–Warsh scheduled for Senate hearing tomorrow.
–Japan issues tsunami warning on a 7.4 quake near Miyako.
Leverage risks abound; market discounts
April 19, 2026 – Weekly comment
***********************************
(Bloomberg 4/17) — A buildup of leveraged hedge fund bets in Treasuries has left investors exposed to abrupt position shifts that could amplify stress across global bond markets, according to Apollo Global Management Inc. Chief Economist Torsten Slok.
Hedge funds now own roughly 8% of the entire $31 trillion US Treasury market, according to Apollo calculations, based on the latest data from the Federal Reserve and Office of Financial Research. That’s up from just 3% five years ago. The buildup has been fueled by heavy borrowing, with combined financing via repurchase agreements and prime brokerages now exceeding $6 trillion, Slok said in a Friday blog post.
According to Google, the duration of outstanding treasury debt is around 71 months, just under six years. Here’s a 5y chart of the 7-year treasury yield to SOFR. At the end of March there was about 60 bps of positive carry (7y 4.25% and SOFR 3.65%). Since 27-March the 7y yield has fallen from 4.25 to Friday’s 4.03%, but there’s still a lot of juice in levered carry.
The blow-up risk was in 2023 and 2024. Even though we’ve had the oil shock this year, with renewed fears of inflation and possible Fed tightening, the second white contract to second red SOFR, now SFRU6 to SFRU7 has remained inverted, ending Friday at -22 (9642/9648). This week SFRM6/SFRM7 spread fell 9 bps to -22.5. Overall, the SOFR curve has steadfastly leaned toward a modest ease rather than hike, and with the late week plunge in oil, even a bit more so.
There continue to be shrill warnings about all types of risks, and given outstanding global debt levels and geopolitics, it’s no wonder. However, VIX at Friday’s close at 17.48 is the lowest since early February, off from a high on March 27 of 31.05. Likewise, MOVE ended at a new low of 65.7, again, back at February levels, off a March 26 high of 115.02.
On Friday, Fed Governor Chris Waller gave a balanced assessment for policy going forward. He discussed the huge decline in net immigration…”means that very little or no net job creation is necessary to absorb new workers into employment.” He also, of course, notes the Middle East situation, “Beyond the length of these disruptions, with this economic shock coming on the heels of the boost to prices from import tariffs, I believe there is the possibility that this series of price shocks may lead to a more lasting increase in inflation, as we saw with the series of shocks during the pandemic.”
I will be cautious when faced with a sequence of transitory shocks [tariffs, oil]. While intellectually it makes sense to look through each shock, with a sequence of shocks, policymakers need to be more vigilant. This is because if the shocks hit one after another, they will keep inflation elevated for quite some time. The standard “look through” can become problematic if businesses and households start to believe inflation is persistently high and it affects their price- and wage-setting behavior.
With respect to policy in the event of Open Hormuz or Continued Hormuz Disruption:
If open and ‘normal’, then “… I see a forecast in which underlying inflation would continue to move toward 2 percent, leaving me cautious about rate cuts now and more inclined toward cuts to support the labor market later this year when the outlook is more steady.”
In the case of continued disruptions, “A slower economy would restrain demand for goods and services, and perhaps soften the increase in prices, but I expect higher inflation than in the first scenario and that it would be elevated for some time. In this case, I also believe we would have a weaker labor market. High inflation and a weak labor market would be very complicated for a policymaker.”
So, no huge hurry to ease, no discussion of balance sheet, pretty much in line with what the SOFR curve Is saying…modest easing likely ahead, but timing could be a ways off.
https://www.federalreserve.gov/newsevents/speech/waller20260417a.htm
On the whole, the message from markets is that the big crises are avoided; vol rarely stays elevated and equity markets appear confident that liquidity will remain abundant even if physical commodity markets are tight.
OTHER THOUGHTS / TRADES
Buying last week of TYN6 109.5 and 109 puts. TYN6 109.5p now has the most open interest of any TY put, with 149k open, Settled 19 with just 20 delta ref TYU 111-175. In May and June the heavy open interest puts are much closer to the money: May, going out Friday: 111p settled 3 with 12d, 110k open. June 111, 110.5 and 110p have 108k, 110k and 118k, settle 22 with 32d, 14 with 22d and 9 with 15d ref 111-23.
There were also three 50k lot clips of weekly calls bought covered: TYM6 settled 111-23.
TY wk1 May 112.0c settled 16 with 38d, 51k open (bot 4/13, 11 cov 111-03, 19d)
TY wk2 May 112.0c settled 23 with 41d, 54k open (bot 4/17, 15 cov 111-12, 21d, so +400k 64’s on calls, and down 231k 64’s on futures).
TY wk2 May 112.5c settled 13 with 26d, 51k open (bot 4/16, 10 cov 111-14, 16d, slightly up)
Week 2 calls expire 8-May, the employment report.
Still seems like SFRZ6 is trading somewhat rich. SFRU6/Z6 is -6.0 (9642/9648), SFRZ6/H7 is -4.0 (9648/9652) and SFRH7/M7 is -5.5 (9652/9657.5). So currently Dec/Mar/Jun fly is +1.5. I would expect this fly to move back into negative territory. Recent low is -4.5 on Feb 27. Dec 31 is on Thursday, so it’s a long ‘turn’.
Love this X post. Elephant slapping the Software shorts. So what if it’s AI generated. The rally was too….
News this week:
Tuesday:
POSSIBLE Senate hearing on Kevin Warsh nomination as Fed Chair
Philly Fed Services
Retail Sales (expected +1.4% m/m)
Thursday:
Chgo Fed and Jobless Claims. S&P PMI
| 4/9/2026 | 4/17/2026 | chg | ||
| UST 2Y | 379.9 | 370.0 | -9.9 | |
| UST 5Y | 393.9 | 383.8 | -10.1 | |
| UST 10Y | 431.5 | 424.4 | -7.1 | |
| UST 30Y | 491.2 | 488.3 | -2.9 | |
| GERM 2Y | 259.8 | 240.5 | -19.3 | |
| GERM 10Y | 305.6 | 295.8 | -9.8 | |
| JPN 20Y | 331.4 | 326.3 | -5.1 | |
| CHINA 10Y | 180.8 | 176.7 | -4.1 | |
| SOFR M6/M7 | -13.5 | -22.5 | -9.0 | |
| SOFR M7/M8 | -9.5 | -3.0 | 6.5 | |
| SOFR M8/M9 | 12.5 | 15.5 | 3.0 | |
| EUR | 117.28 | 117.65 | 0.37 | |
| CRUDE (CLM6) | 89.93 | 82.59 | -7.34 | |
| SPX | 6816.89 | 7126.06 | 309.17 | 4.5% |
| VIX | 19.23 | 17.48 | -1.75 | |
| MOVE | 72.15 | 65.70 | -6.45 | |
No sellers left with stocks at new highs
April 17, 2026
**************
–Yields rose Thursday, with tens up 2.9 bps to 4.307%. Buyer early of 50k TY wk2 May 112.5c for 10, covered 111-14, 16d. These calls expire on NFP day, May 8. (settle 8 vs 111-07). Last week he bought 50k TY wk1 May 112.0c which also settled yesterday at 8. On the put side, a bit more buying of TYN6 109.5p. TYN6 109p and 109.5p are now the concentrated open interest with OI 72k and 149k respectively. (settles 22, 0.22d, and 28, 0.27d). High gamma calls. Normal protection further out in July (expiration date June 26).
Polymkt X post yesterday:
JUST IN: Former Treasury Secretary Henry Paulson calls on U.S. authorities to prepare for a “vicious” bond crash.
There’s a nice push for the prediction markets! Or better yet, Bessent can throw down with Paulson. God I wish there was a prediction market for THAT. Anyway, Bessent is likely already to do whatever it takes to keep bond yields from exploding.
–Worth a note. 2/10 edged to a slight new recent high at 53.1 as did 5/30 at 101.6, but these are somewhat muted rallies off March lows of 42.4 and 83.9, sort of like gold.
–On a more worrisome note, there have been a series of refinery explosions/accidents across the globe. I am linking several X posts. Though CLK6 is currently down 3.60 at 91.09.
From Bogachan Ozdemir:
45 incidents last 45 days … refineries are blowing up all around the world…. not only war zones but in Australia, Indonesia…. today Mexico….
From Andrew Bridgen:
Another coincidence… Massive fire reported at the Dos Bocas Refinery in Tabasco, Mexico 9th April, 2026. …The world’s energy and oil refinery infrastructure is being targeted by those who want to inflict energy lockdowns on us all.
From Rhonda Garad:
Extraordinary-all 4 events happening at once. Australia’s -largest fertilizer producer shut down, -biggest oil refinery on fire -two major gas terminals in WA knocked out.
https://twitter.com/AutumnMandrake/status/2044765087072964880/photo/1
RTRS: A fire at the largest of Australia’s two oil refineries has hit petrol production, company and government officials said on Thursday, just as the nation faces pressure to shore up fuel security with the Iran war disrupting global supply. [I read somewhere else that this refinery incident will have the effect of shutting down gold mining]
Doomberg reports: “In a scandal that defies belief, the member states of the EU have exited the winter of 2025–2026 with disastrously low stores of natural gas just as the war in Iran has closed the Strait of Hormuz, taking 20% of the world’s supply of liquefied natural gas (LNG) offline.”
–Global decline in standards of living around the corner…
Vol compression
April 16, 2026
**************
–From friend Art Main SOFR option summary:
“In SOFR options, volume was extremely lite (37% of 20 day ADV)”
–Interest rate vol continues to sink (normalize?). Attached chart shows MOVE and TY 1M vol. MOVE index covers the curve, 2s, 5s, 10s, 30s. In order to give a sense of quantification, I looked at TY futures straddle level on the peak (March 26), and the first red SOFR, SFRM7.
On March 26: TYK6 110^ vs 110-055 had 29 days until expiry and settled 2’01 which I marked 8.1.
Yesterday, TYM6 111.5^ vs 111-115 had 37 days until expiry, and settled 1’17 which I marked 4.5. (wk 3 which isn’t listed yet would have 29 days and be worth 1’09)
On March 26 SFRM7 9625^ vs 9623 settled 1.035 with 442 dte. Yesterday same contract with 422 days, 9650^ settled 69.5 vs 9649.5.
–Yields up yesterday with tens +2.4 bps to 4.278%. SOFR contracts down 2.5 to 3.5. Peak contracts tied Z7 and H8 at 9661.5 or 3.385%.
–Philly Fed today expected 10.0 from 18.0. Jobless Claims expected 213k.
***one other note: May CL options expire today. Option OI spread across strikes. Near current price, peak calls: 90c with just 6715 open, 95c has 11k open. On the put side 95p 9.8k and 90p 8.4k. CLM6 is already doing more volume than CLK6, with CLM6 futures last print at 89.45.
–Really had not much else to write about. Option premium in the dirt. Volume low. But then I saw that Bessent and Hassett got into a physical brawl over policy.
Grinding up the wall of no worries
April 15, 2026
****************
–Another low volume day with stocks and bonds grinding to new recent highs. All-time high settle in ESM6 is 7070 on Jan 12, and late price was 7004. ESM6 has rocketed over 10% higher from the March 31 low. Bonds aren’t as frothy, but the high yield in the 30y was 4.966 on March 27; at futures settle I marked it at 4.867. CLK6, having traded as high as 117.63 on April 7, was 92.18 late. The market is convinced of endless liquidity. Is it despite the backdrop, or because of it?
-Consumer Confidence at all-time low.
-Americans have never been this pessimistic about their financial situation: A record 54% of US consumers now say their financial situation is worse compared to a year ago due to higher prices.
-NFIB Small Biz Optimism at new low for this year at 95.8, which equals last year’s low. From the report: The Uncertainty Index rose 4 points from February to 92, well above its historical average of 68.
-CRE problems: properties being sold for pennies on the dollar, and private equity/credit funds under the gun.
TCW Marks Down Red Lobster Equity Stake by 98% While Keeping Private Credit Debt at Par [Grok summary]
TCW slashed the value of its equity position in Red Lobster by approximately 98% overnight, reducing shares held by a private credit fund it oversees to under $1 million since acquiring them via the restaurant’s 2024 bankruptcy. Despite the equity wipeout, TCW marked the value of its large Red Lobster debt holding, maturing in 2029, to par over five consecutive quarters
–Ten year yield fell 4.1 bps yesterday to 4.867%. On the SOFR strip, contracts in years 2, 3, 4 and 5 (reds thru golds) were up 3 to 4.,5 bps. Peak SOFR contract slipped back one slot to SFRH8, which settled 9665 or 3.35%, compared to current EFFR 3.64%. However, largest SOFR call trades appear to be exits. Example, -25k SFRZ6 9650/9675cs at 10 (settled 10 vs 9641). Same cs sold 20k vs buy 10k SFRZ6 9631.25p 3.25 to 3.5. Open interest down 39k in Z6 9650c and -17k 9675c.
–I skimmed open interest sheets this morning and volume is simply amemic. Just looking at quarterly midcurve calls:
0QN calls, 3k traded. 0QQ, 0. 0QU 550, 0QZ 50k, 0QH 0. In ALL green midcurve calls, total volume across months was just 450 contracts. So between red and green mid calls, 54k.
–In treasuries there were some put rolls out of May and into July. Sold TYK 110.5p and bought July 109.5 and 109 puts. TYU6 settled 111-12. TYN 109.5p 22s, OI +55k. TYN 109p 17s, OI +25k.
–Quick FF note: I am marking FFF7 and FFF8 on my sprdsheet. The calendar settled -52.5. (9645.5/9698). Out of whack with SFRZ6/Z7 which settled -23.5. That’s because there is ZERO open interest in FFZ8. Late quote on box: 9635.5 bid/9813.0 offer. Be careful of published prices.
Just for fun:
10 ACCIDENTAL Songs From the ’60s That Made MILLIONS!
…the soundtrack of a generation, the 1960s.
“It is a puzzling reminder that in music [and perhaps in human affairs at large], sometimes the things we throw away are the very things the world decides to keep forever.”
Some great stuff in this video. I had no idea that in-a-gadda-da-vida was supposed to refer to the garden of eden, but the singer was hammered and slurring.
Talks continue; stocks and bonds rise
April 14, 2026
***************
–Sunday night/Monday morning pullbacks in stocks and bonds from failed weekend peace talks were more than reversed yesterday, with ESM currently nearing the level before Iran attacks began. On Feb 25, ESM settled 7013, now 6931. One of my favorite current charts has to be Sandisk (SNDK), which ended 2025 at 237 and vaulted to a new high of 952 yesterday.
–Yields fell with 10s down 2 to 4.295%. SOFR contracts and treasuries all down 1.5 to 3 bps in yield on light volume. However there was a buyer of 50k TY wk1 112c for 11 vs 111-03 with 19d. Settled 13 vs 111-075. (Expires May 1; NFP released on 8-May).
–Late yesterday: (Bloomberg) — The Federal Reserve said Monday it will buy about $25 billion of Treasury bills each month, a greater wind down than anticipated of a program that was meant to ease short-term funding costs by rebuilding reserves in the financial system. …In December, the central bank began buying about $40b of bills each month in a bid to ease the pressures that were building in short term rates. [to make it through tax season].
–Is this slight pare back of liquidity positive? Perhaps withdrawals to pay taxes weren’t as large as expected?
–One quick SOFR note: For most of the day SFRZ6/H7 was -2.5/-2.0 though settlement was -3.0. Dec 31 is on Thursday this year, so the year-end ‘turn’ is longer than usual. (in the old ED days, Dec contracts typically traded at a discount due to year-end funding pressures). Currently, one might conclude that Dec/March is negative due to a lean toward expected easing, which is of course, reasonable. However, SFRZ appears to be trading a bit ‘rich’. SFRU6/Z6 settled -4.5, Z6/H7 -3.0, and H7/M7 -6.0. Prices: U6 9634.5, Z6 9639, H6 9642, M6 9648.0. (buy the double?)
Interesting snippet from recent DOOMBERG:
Although few Western analysts acknowledged it before the current aggression exploded into the open, Iran’s surprising performance thus far is testimony to how much progress it has made in the meantime. Aside from its world-class missile and drone production, Iran is also a significant industrial power, massively outproducing Britain in steel, cement, and ceramics. It produces about as many automobiles as Canada, but with far more localized platforms and components. Ironically, Iran is better prepared to withstand a collapse of the Western-based financial system than virtually any other country, precisely because it has been excluded from it for decades.
Markets take failed talks in stride
April 13, 2026
***************
–Failed Iran talks over the weekend took stocks and bonds lower overnight, but markets have fought back from the early lows. Example, USM6 low 113-03 and last 113-16 (Friday settled 113-25). ESM6 morning low 6767.00, last 6813.25, down 42 (Friday settled 6855.25). While bonds tested Tuesday’s lows this morning (last week low in USM was 113-01), ESM has barely chewed into the rally from Tuesday late afternoon. CLK6 (WTI) currently +7.73 at 104.30. Last week’s high 117.63.
–Blockade? Just take a look at Ireland. Farmers and haulers have blocked major roads mostly in protest of the price of diesel and other green policies. As one commentator put it, “the divide is between those that think globally, ‘globalists’ and those that think in national terms.” From a news article:
“None of these lads want to be here. These are working men. They should be on their farms or on the road. They can’t afford to be here, but they can’t afford not to be, either.”
–There are more stories permeating US press about budget problems of both households and municipalities. For example today’s WSJ main page has ‘Surcharges are Suddenly Everywhere – and Grumpy Americans are Paying Up’ and ‘A 50% Property Tax Hike Proposal is Tearing this Mass Town Apart’. From another news source: “Cities and towns across Massachusetts are dealing with budget shortfalls and looking to tax hikes provided by Prop 2.5 overrides to solve the issue.”
Prop 2.5 is supposed to limit annual property tax increases to 2.5% of the previous year plus growth. Shouldn’t be hard right? Inflation is right around 2.5%.
Here’s a clip from Nightingale Associates:
“Office vacancy in the Chicago suburbs rose to an all-time high of 33.4% from 22.1% in 2020, having now hit new record highs for 21 consecutive quarters.“
https://x.com/FCNightingale/status/2042413959169319190
Mythos vs Hormuz
April 12, 2026 – Weekly note
*******************************
Dominant news is that US/Iran peace talks didn’t produce an agreement.
On Tuesday, April 7, as Trump pulled back threats to wipe out Iranian civilization, SPX closed at 6617. Two days later, on Thursday, SPX was up 3.1% to 6824. On the rally, VIX plunged from 25.78 on Tuesday to 19.49 on Thursday, ending the week at 19.23 (nearing the Feb 25 low of 17.93, before the attacks on Iran).
SPX 200 DMA is 6662. A return to levels of early last week would leave an island top which would likely cap prices for the intermediate term. Closing below the 200 DMA would be negative.
MOVE index has also continued to fall. By March 26 it had surged to 115, but ended the week at 72.15. The low of this year was set in January at 55.77, which hadn’t been seen since late 2021, before the hiking cycle started. Friday’s close is lower than all levels from early 2022 to mid-2025.
Front month WTI fell nearly 15 dollars on the week, from 111.54 to 96.57. However, CLM6 was only down 8.46, from 98.04 to 89.58. In any case, last week’s price action in bonds doesn’t particularly signal inflationary fears: MOVE lower, 10y breakeven well-behaved, ending the week at 238 bps. Obviously conditions are subject to violent changes (making both MOVE and VIX seem cheap as of Friday).
The other key, and likely disinflationary, bit of news was related to Anthropic’s Mythos. Bessent and Powell summoned banking heads to discuss risks related to this particular AI model. From CBS news:
The company, the developer behind the Claude AI chatbot, said in a post on its website this week that the new tool has already uncovered thousands of weak points in “every major operating system and web browser.”
In a hopefully unrelated news item, Kraken Financial was granted a Federal Reserve master account in early March, “…the first digital asset bank to gain direct access to the Fed’s payment infrastructure.”
Jim Bianco has cited the damage in SaaS, noting that the index was down 11.46% in the last three days of the week. He posted the top 10 stocks in terms of weight. I have added the declines over the past week. In a week when the SPX rose 3.6%, every stock below was down except for APP.
1PANW (Palo Alto Networks)4.69% -4.65%
2CRWD (CrowdStrike)4.44% -5.0%
3PLTR (Palantir)4.35% -13.7%
4SNPS (Synopsys)4.30% -0.9%
5MSFT (Microsoft)4.20% -0.6%
6CRM (Salesforce)4.11% -11.9%
7ADBE (Adobe)4.04% -7.2%
8INTU (Intuit)3.99% -16.9%
9NOW (ServiceNow)3.92% -18.6%
10 APP (AppLovin)3.73% +1.3%
Last week’s UofMich Consumer Sentiment number was the lowest ever at 47.6. In the K economy, it’s the upper echelon that supports aggregate consumer spending. I would argue that tech equity values are the primary pillar, and data related to AI vulnerabilities (as above) undermines the top spenders.
US ten-yr yield ended little changed on the week at 4.315%. (High of hiking cycle was 4.99% in 2023). However, new high in 10y JGB 2.428%. Started 2025 around 1.10. Last time here was 1997. 2y Japan yield also at a new high 1.395%, suggesting a BOJ hike at month’s end. German 10y bund at 3.056% remains pinned to its highest yield level since 2011
Beige Book released on US Tax Day, April 15.
| 4/2/2026 | 4/9/2026 | chg | ||
| UST 2Y | 379.4 | 379.9 | 0.5 | |
| UST 5Y | 394.5 | 393.9 | -0.6 | |
| UST 10Y | 430.7 | 431.5 | 0.8 | |
| UST 30Y | 488.4 | 491.2 | 2.8 | |
| GERM 2Y | 261.2 | 259.8 | -1.4 | |
| GERM 10Y | 299.1 | 305.6 | 6.5 | |
| JPN 20Y | 326.3 | 331.4 | 5.1 | |
| CHINA 10Y | 181.4 | 180.8 | -0.6 | |
| SOFR M6/M7 | -10.5 | -13.5 | -3.0 | |
| SOFR M7/M8 | -9.0 | -9.5 | -0.5 | |
| SOFR M8/M9 | 12.5 | 12.5 | 0.0 | |
| EUR | 115.39 | 117.28 | 1.89 | |
| CRUDE (CLK6) | 111.54 | 96.57 | -14.97 | |
| SPX | 6582.69 | 6816.89 | 234.20 | 3.6% |
| VIX | 23.87 | 19.23 | -4.64 | |
| MOVE | 84.41 | 72.15 | -12.26 | |
Less volatile price churning ahead
April 9. 2026
*************
–CLK6 settled 94.41 yesterday and is about $3 higher this morning. May/June spread is 6.80; CLM6 is just below $91. US rates declined on the tentative ceasefire, with tens ending -5.4 bps at 4.287%. Implied vol was crushed. With a little over 2 weeks to go, May TY atm straddle went from 1’09 at Tuesday’s settle to 1’01 yesterday and USK6 atm straddle from 2’10 to 1’60. SOFR straddles eased a few bps. April SOFR midcurves expire tomorrow, 0QJ6 9650^ settled 8.5 vs 9646.5 in SFRM7.
–Today’s news includes PCE prices, m/m expected +0.4 with Core also 0.4. Yoy expected 2.8 vs 2.8 last with Core 3.0 vs 3.1. Jobless Claims 210k. GDP for Q4 expected +0.7, same as the second estimate which was released mid-March. 30y auction.
–Near one-year SOFR calendars edging slightly more inverted again. For example, SFRU6/SFRU7 settled -22 (9632.5, +2/ 9654.5, +6), from -18 Tuesday. Low settle on this spread was -28.5 on 27-Feb. By comparison, SFRM6/M7 settled -52.5 on 27-Feb, and -14.5 yesterday. Front end of the SOFR curve is pretty much pegged to current EFFR at 3.64%. SFRM7/U7 is the most inverted 3-mo calendar at -8 (9646.5/9654.5). Fed is being priced with a small bias toward forward easing.
–Kalshi post from yesterday makes me think CME will resusitate its NFP contract first intro’d in March 2008:
“BLOCK trades are active on the platform…seeing a lotof $20-$30 million trades for payroll hedging”
