Let’s Get Moving!
August 25, 2024 – Weekly Comment
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In the image below, that first guy, the one with the white hard-hat and the clipboard? That’s the interest rate futures market. The second guy that’s tagging along? That’s Powell. The pile of rocks is job losses and slowing growth, with the consumer getting buried.
First guy: “Look Jay, like I told you before, we’re going to have to use the front-loader to move these rocks. Get in there and start shoveling!” JP, “Can it wait for Jackson Hole?”
The graphical image in the futures market that is saying the same thing is the 6-month SOFR futures spread, SFRU4 to SFRH5. As can be seen on the chart below (which is only a six-mo range) in just three months from late May to Friday, the calendar imploded from -36.5 to a NEW LOW of -120.5. On May 29, SFRU4 was 9478.5 and H5 was 9515.5. Friday’s settles were 9509.5 and 9630.0. The current SOFR rate is 5.31 to 5.35. The rate on SFRH5 (ignoring compounding) is 3.70%, around 1- 5/8% lower than the current SOFRRATE. That’s a lot of easing front-loaded into a six month period.
In his Jackson Hole speech Powell said, “The time has come for policy to adjust.” The SOFR futures calendars have increasingly been telegraphing that message, which Powell has now overtly blessed. He stressed concerns about labor conditions as opposed to inflation. Fire up the Komatsu. (We bought it back in June as it became apparent we’d need it, when $/yen was 157).
In an interview Thursday, following the BLS downward revision of -818k from the originally reported payroll numbers, KC Fed President Schmid shrugged off the massive miss, and said it didn’t really change the broad strokes of his outlook. He deemed the labor market as relatively strong.
On the chart above, I note the last three NFP releases. There is clear deterioration, accentuated by lower revisions of the data in both June and July. The new narrative is that illegal immigrants are adding to jobs through “under-the-table” arrangements, so payrolls are being under-counted. I suspect it’s pretty tough for a company of any size to pay cash to employees with no benefits. Is it worth the risk? My guess is that the undercount is not relevant with respect to trend. And if I’m wrong, using lower cost labor is clearly deflationary.
The chart below shows the same SOFR spread on a rolling basis, along with the greenback (DXY). So, while the spread is currently represented by SFRU4 to SFRH5, before mid-June it was SFRM4 to SFRZ4, etc. Over the admittedly short time frame of the past year, the spread and DXY are well correlated. Both DXY and the calendar made new lows Friday. DXY has plunged from 106.05 to 100.72 just since the end of June, though $/yen at 144.37 hasn’t quite taken out the early Aug low of 144.18.
Takeaways from the above are 1) there is currently a LOT priced for near-term easing. 2) following expected aggressive easing, the rate of change slows significantly. While U4/H5 is -120.5, the next 6-mo spread, H5/U5 is -48, and then U5/H6 is -16. 3) if easing is currently being priced too enthusiastically, the dollar will likely stop declining. 4) markets are quite volatile.
The most important news of this week will likely be PCE prices on Friday. Q2 GDP revision is Thursday. On a yoy basis, both PCE prices and Core are expected to be 1/10th higher than last, at 2.6% and 2.7%. Keep in mind, the payroll data has now become more important. Next NFP is 5-Sept. Currently expected 155k. If one has a conspiratorial bent with respect to data massaging, this report will be a big one.
Note that Oct FF settled 9501, up just 2.5 bps on the week. Current Fed Effective is 5.33%. A cut of 25 is 5.08% (9492) and a cut of 50 is 4.83% (9517). The midpoint is 9504.5, so the market leans slightly towards just 25 at the September 18 FOMC. (Btw, on Aug 5, FFV4 settled exactly at 9517). Payrolls will likely be a deciding factor. April 2025 is a “clean” FF contract in that there is no FOMC in that month. Similar in price to SFRH5 it’s 9628 or 3.72%. Obviously FFJ5 will adjust like any other contract to NFP. But just for fun, let’s say the Fed only goes 25 in Sept, but FFJ5 remains around its current price. That would mean FFV4 settle 9492 with FFJ5 still 9628, a difference of 136 bps. There are four FOMCs in that period: 7-Nov, 18-Dec, 29-Jan and 19-March. Fifty bp cuts are coming. But if you think the max move by the Fed will be increments of only 25, then FFJ5 is too damn high! Same with SFRH5.
| 8/16/2024 | 8/23/2024 | chg | ||
| UST 2Y | 406.2 | 391.0 | -15.2 | wi 387.3 |
| UST 5Y | 376.2 | 364.7 | -11.5 | wi 3.623 |
| UST 10Y | 389.0 | 379.9 | -9.1 | |
| UST 30Y | 415.1 | 410.1 | -5.0 | |
| GERM 2Y | 243.3 | 237.4 | -5.9 | |
| GERM 10Y | 224.7 | 222.5 | -2.2 | |
| JPN 20Y | 169.0 | 170.1 | 1.1 | |
| CHINA 10Y | 219.0 | 215.5 | -3.5 | |
| SOFR U4/U5 | -155.5 | -168.5 | -13.0 | |
| SOFR U5/U6 | -22.0 | -19.0 | 3.0 | |
| SOFR U6/U7 | 3.0 | 7.0 | 4.0 | |
| EUR | 110.20 | 112.11 | 1.91 | |
| CRUDE (CLV4) | 75.54 | 75.54 | 0.00 | |
| SPX | 5557.74 | 5634.61 | 76.87 | 1.4% |
| VIX | 14.70 | 15.86 | 1.16 | |
Powell at Jackson Hole
August 23, 2024
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–Yields rose with tens up 8.4 bps to 3.86%. In yesterday’s note, I mentioned that SFRH5 and M5 were the stars, both rallying 10 bps on Wednesday. Those moves were reversed yesterday: H5 fell 10.5 to 9620.5 and M5 -11 at 9650. Positioning is predicated on Powell’s Jackson Hole comments, which occur today at 10:00. A link to the KC Fed is below, for viewing of Powell’s speech.
–KC Fed President Schmid, in an interview yesterday with Steve Liesman, noted that the labor market is still relatively strong and there’s “more work” to do with respect to inflation. Clearly there are a range of views within the Fed. Yesterday FFV4 settled 9498, edging closer to 9492 or 5.08%, which would be the new target on an ease of 25. Having said that, there is still large buying of SFRU4 call spreads — just in case the Fed cuts 50. For example, SFRU4 9531.25/9543.75cs 0.5 paid for about 100k. This trade requires high odds of 50 bp cuts both in Sept and Nov. The high print on August 5 in SFRU4 was 9547.5, though the settle that day (high sett of the month) was 9528.5.
–It’s three and a half weeks until the Sept 18 FOMC. A lot can happen, no matter what Powell says, though I expect him to lean towards 25 bps. If he goes a step further and implies that future eases of 50 are unlikely, I suspect that stocks will have a negative reaction. Sept treasury options expire today. TYU4 settled 113-09+. Peak OI in calls is still the 112 strike with 125k, the 112p settled cab so it’s all intrinsic. Next highest is 113.5c with 60k open. Settled 7. I suspect we’ll pin that strike. Put open interest is pretty sparse.
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https://www.youtube.com/KansasCityFed
Just call…but ask POLITELY
August 22, 2024
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–Yields continued to drop with tens down 4.2 bps to 3.776%. Curve steepened, with twos down 7.6 bps to 3.92%. On the SOFR strip SFRH5 and M5 were the stars, both closing +10 (9631 and 9661). Again, just looking at M5 yield, it’s 3.39% – nearly 200 bps lower than the current midpoint of the FF target of 5.375%. Steeper SOFR curve illustrated with March contracts: H5 +10 at 9631, H6 +8.0 at 9694, H7 +5 at 9695 and H8 +3.5 at 9686.5. Every contract from H6 back is nearing 3%.
–New low settle in SFRU4/U5 one-year calendar at -166.75 (9511.25/9678). New low in U4/Z4 at -68.25. While the financial press dutifully reports that the FOMC minutes (released yest) support the idea of a rate cut, the market is projecting AGGRESSIVE easing over the next few quarters. If one has already positioned for that outcome, (and has perhaps called the BLS for an early tip on the benchmark job revisions), then one might use market strength as an opportunity to unwind large longs. Early exit sales of 20k Z4 9600/9700c 2×3 at 15.0 and 50k H5 9675/9775cs 1×1 at 12.0. Settles in Dec were 14.75 and 4.25 so 16.75 in 2×3 and 20.0, 6.5 so 13.5, OI down 22k, 38k, and 50k in both H5 options. I am NOT saying this account had the BLS revision early, however, it was reported that during the long delay awaiting the ultimate -818k revision to payrolls, sev’l shops reportedly called the BLS and were given the data over the phone (by Todd, in accounting, who had already positioned accordingly). Can’t blame Commerce Sec’y Gina Raimondo for any insider trading, she’s not even familiar with the BLS.
–The market is awaiting Powell’s testimony to determine a strong lean for 25 or 50 bp cut at the Sept 18 FOMC. FFV4 settled 9501.5, a slight bias for only 25 (9504.5 is the “pick-em” level). As friend JJ (metals, oil and everything else, on Substack) says: “…the committee will be cutting into a stock bubble, a bear market in dollars and all-time highs in gold; three powerful trends that will be contemporaneously accelerated and highly counter-productive to each other!” $/yen late was 144.53, pressing lows.
–I’ve attached a chart of SFRU4/Z4/H5/M5 condor. New low. Sept/Dec is -68 and H/M is -30. If the market knew with CERTAINTY there would be a 25 bp cut each quarter, then, simplistically, every 3m calendar would be -25. No matter what Powell does in Sept, the mkt is expecting the axe to come out post-election.
–Today’s news includes Jobless Claims expected 230k. S&P Comp PMI expected 53.5 from 54.3. Existing Home Sales. Jackson Hole has started, Powell tomorrow at 10:00 am. If you call the Fed first, and ask politely, maybe they will release the text to you early.
Let’s all be a little bit more like Rick Monday today:
Official recognition of weaker labor conditions
August 21, 2024
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–Yields dropped Tuesday as Philly Fed Services fell to the lowest level since 2020 at -25.1. Tens down 4.7 bps to 3.818%. On the SOFR curve, June and Sept’25 were leaders, settling +8 (9651 and 9669). Today’s news includes BLS benchmark nonfarm payroll revisions. Estimates range from a downward revision of 400k to 1 million in the year ended March. From BBG: “There are a number of caveats in the prelim figure, but a downward revision to employment of more than 501,000 would be the largest in 15 years and suggest the labor market has been cooling for longer – and perhaps more so – than originally thought.” Notable weakness in DXY as rates eased.
–20 year auction today as well, followed by FOMC minutes.
–Flows were generally weighted towards an easier Fed. Powell speaks at Jackson Hole on Friday at 10:00 on the Economic Outlook. Exit seller of 60k 0QU4 9650p 8.0 to 7.5, settled 7.0 vs SFRU5 9669.0. Buyer of 30k 0QU4 9687.5/9700cs vs selling 9625p at flat. Call spd settled 3.0 and put at 1.75.
–October FF settled 9499.5, still leaning a bit closer to a 25 bp ease rather than 50 at the Sept FOMC (9504.5 is the dividing line). However, SFRU4/SFRZ4 spread is near -65. (9506.75/9571.5) a huge inversion for a three month period. And SFRH5 is at a price of 9621, a yield of just 3.79%. The market is pricing serious easing post-election.
As mentioned, U4/Z4 is -65, but U5/Z5 is -10.5 (9669/9679.5), U6/Z6 is 0 (both 9690.5, the peak of the SOFR strip) and U7/Z7 is +2 (9687.5/9685.5).
The whole yen, recession, emergency ease thing was just… nevermind
August 16, 2024
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–Retail sales expected +0.4 and actual +1.0%, enough to send SOFR contracts hurtling lower from precarious highs. Leader was SFRM5 which ended -20.5 at 9639.5; I had highlighted the settlement of 9661 the other day as being around 200 under the current FF target midpoint. The two-year yield jumped 15 to 4.097% while tens rose 10.5 to 3.923%. Odds for a 50 bp cut are slipping away, with FFV4 settling 9498.5, down 3 on the day. A cut of 25 bps at the Sept meeting would put FFV4 at 9492.0
–NDX partied like it was Nov of 1999, +2.3% yesterday. From Nov’99 to March’00 CCMP went from 3000 to 5000. Maybe that’s the analog.
–Buyer of 50k TYV4 113.5p for 58 covered 50d vs 113-17, straddle price of 154 which is where the Oct straddle settled. Open interest in the put increased 44.5k.
–A friend sent the following link yesterday, regarding employment in the transportation sector.
https://www.bts.gov/newsroom/us-cargo-and-passenger-airlines-gained-200196-jobs-june-2024
| U.S. Cargo and Passenger Airlines Gained 200,196 Jobs in June 2024 | Bureau of Transportation StatisticsU.S. airline industry (passenger and cargo airlines combined) employment increased to 1,002,700 workers in June 2024, 200,196 (24.95%) more workers than in May 2024 (802,504).www.bts.gov |
Looks official. Next time you see labor stats, economic data, or a political poll, just remember that in June 2024, Fed Ex doubled its workforce, adding 198k jobs to a total of 438k. Does that data look correct? Is that filtered into NFP?
–Chicago Dem Convention starts next week. No missives for the next few days, I’m leaving town.
Here’s The HU. Good way to start the trading day. Mongolian Metal. I don’t understand it, but I like it. And if played at the right volume, it’s appropriately mind-numbing.
What the hell is the world gonna look like post-election?
August 15, 2024
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–Pressure on near contracts and on implied vol in rate futures as CPI printed as expected: 0.2% m/m headline and core. SFRU4 was the weakest contract on the SOFR strip, settling 9511.0, down 4.5 on the day. The high tick on August 5 was 9547.5 with a settle of 9528.5. Was it Roaring Kitty advocating emergency rate cuts? Because this looks an awful lot like GME. October FF settled 9501.5 yesterday, also down 4.5, and now leaning closer to a 25 bp cut in September rather than 50 (even odds is a price of 9504.5). Due to weakness in SFRU4, U4/Z4 3-month calendar and U4/U5 1-yr calendar made new lows at -68 (9511/9579) and -166.5 (9511/9677.5). It appears as if sentiment currently favors near-term easing to be somewhat aggressive (after the election), followed by a lull. Actually, U4/Z4 at -68 is an extraordinary level capturing pre- to post-election. SFRZ4 9581.25 straddle settled 44.75. I’m not saying I would be a buyer at that level, but it’s not a good sale.
–Consider this: SFRZ4 settled 9579 or 4.21%, 116 bps UNDER the current midpoint of the FF target. So there’s a lot of easing priced in. Now, look at the 9650c, which is ANOTHER 71 out of the money. That settled 7.25. Breakeven is 9657 or 3.43%. OK, so 71 out-of-the-money is worth 7.25…it’s a crazy world right? How can I say that’s “wrong”? Now look at the downside. SFRZ4 9525p settled 1.75 (traded 2) and are just 54 otm. So I buy 3 of the puts for 2, sell one of the calls at 7, and still have $25 left over for the breakfast special at Denny’s. What could go wrong? (THIS IS NOT A RECOMMENDATION. THERE ARE MUCH BETTER BREAKFAST PLACES THAN DENNY’S)
–Treasury curve reflected the same dynamic. Curve flattened with 2s up slightly in yield to 3.947% and 10s down 3.4 bps to 3.818%. Retail sales today expected +0.3, Jobless Claims 235k and Philly Fed Mfg 7 (from 13.9 last). The market is expecting to glide through this data without much drama. Treasury vol was hit fairly hard yesterday. For example, TYU4 113.75 straddle settled 53 vs 113-245. On Tuesday, TYU4 113.5^ settled 1’04 vs 113-20. The atm October straddle went from 2’03 to 1’59. Worth noting that Sept treasury options expire one week from tomorrow, after Powell addresses Jackson Hole.
Screaming recession
August 14, 2024
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–CPI today expected 0.2 with Core also +0.2 m/m. On a yoy basis, expected 3.0 from 3.0 with Core 3.2% from 3.3%. Lower than expected prints in yesterday’s PPI, yoy 2.2% and Core 2.3%, helped spark a rally in rate futures. SFRH5 and M5 led the charge, settling +10 at 9630.5 and +10.5 at 96.61. SFRM5 at 3.39% is nearly 200 bps below the current FF target midpoint of 5.375%. By NEXT SUMMER. While stocks welcome the prospect of lower rates, it’s hard to see the Fed slashing 200 in a “soft landing” scenario. Something is not right. Rate futures are screaming recession, while stocks enjoyed a rollicking rally with Nasdaq +2.4%.
–Tens fell 5.5 bps to 3.852%.
–Block steepener in SOFR yesterday in size 37k, SFRH5 9626 vs H6 9690, a spread of -64. On Monday the spread settled -64.5 and yesterday at -62.0. Trade was new, open interest jumped 54k and 46k. Concentrated buying in 2025 contracts also responsible for new low in SFRU4/U5 1-yr calendar at -162.5 (9515.5/9678.0), down 7 on the day.
–A few option curve trades reflected the trend: 0QZ/3QZ 9700/9750cs spread 2 paid for red, 2k, (underlying contracts Z5 at 9687.5 and Z7 at 9682.5).
SFRM5 9675/9725cs vs 2QM 9712.5/9762.5cs -0.25 credit to buy the near, 5k
And then, depression set in
August 13, 2024
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–PPI today expected 0.2 for both headline and core. Yields fell yesterday with 10s down 3.5 bps to 3.907%. Probably should just ignore the interest rate arena and buy gold for the inevitable $100 run as soon as GCZ4 breaks through 2525.
–From NY Fed’s Survey of Consumer Expectations: “Labor market expectations were mixed, with respondents expecting lower earnings growth and a lower likelihood of finding a new job within three months if they were laid off. Delinquency expectations continued their upward trend in July and have risen to the highest level since April 2020.”
To paraphrase: “making less, worried about getting sh-t canned, and the car is about to be repo’d”.
On the plus side, KFC expands its $5 meal offerings.
There used to be a goofy kid trading eurodollars in the third and fourth on the CME floor with the acronym KFC. Nicknamed, “the colonel”.
–New buyer yesterday of 20k TYU4 114.5c for 13, settled 12 ref TYU4 113-075. Also a large buy of SFRH5 9800/9900c 2×3 for 3.5 to 3.75; size of 60k x 90k. Settles 3.75 and 1.25 so 2×3 3.75s ref H5 9620.5. In a way, might as well consider SFRZ4 9700c which settled 4.0 ref 9575. If the wheels are about to come off, the next few months ought to do it.
–NFIB Small Business Optimism Index popped up to 93.7 this morning. However, NFIB economist Bill Dunkelberg was suitably downbeat:
“Despite this increase in optimism, the road ahead remains tough for the nation’s small business owners… Cost pressures, especially labor costs, continue to plague small business operations, impacting their bottom line. Owners are heading towards unpredictable months ahead, not knowing how future economic conditions or government policies will impact them.”
C’mon Bill, let’s go out for a couple of Leinenkugel’s and take the edge off… my buy.
Yes, I know I’ve used this clip before. And, I will use it again.
Lazy days of August
August 12, 2024
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—Main Friday feature was curve flattening with 2s UP 1.3 bps to 4.053% and 10s DOWN 5.7 bps to 3.942%. 2/10 spread, which had nearly poked into positive territory, slipped back to -11. On the SOFR strip, Z4 was -1.5 at 9574, Z5 unch’d at 9673.0, Z6 +2.0 at 9680 and Z7 +5.5 at 9673.5. Just a couple of things to notice from those prices:
1) Z4/Z5 is inverted by almost exactly 1% (-99.0s). The front U4/U5 spread is inverted by 1.5% at -149 (9513.5/9662.5)
2) prices for the next two years from Z5 to Z7 are almost exactly the same, 3.2 to 3.25%. I’m figuring 3.0 to 3.25% as a soft floor for a terminal funds rate.
–This week brings inflation data, with CPI on Wednesday looming as the most important release. Expected 3.0% yoy, unch’d from last month’s print, with Core 3.2%, down 0.1 from previous. Nothing likely to derail Powell from teeing up a 50 bp ease at the Aug 23 Jackson Hole Symposium. Actually, the market is about evenly priced for 25 or 50 with FFV4 settling 9505.5 or 4.945%, 38.5 bps below the current EFFR of 5.33%. Retail Sales on Thursday may have additional importance this week on Thursday. The following week is somewhat light on economic data, and culminates with Jackson Hole.
–August midcurve options expire Friday. SFRU5 settled 9662.5 and the atm 9662.5 straddle settled 20 bps. Rather high straddle price given only five trading days left. On the other hand, in five trading sessions from July 30 to August 5, SFRU5 traded from 9621.5 to 9706.5, a range of 85 bps!
It’s not just yen-carry. It’s lower employment and consumer spending.
August 11, 2024 – Weekly comment
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If it’s all about the yen-carry trade, then it’s instructive to look at $/yen chart. Because in order to unwind, it’s necessary to buy yen.
A case can be made that the 10.8% move from 161.69 to Monday’s low of 144.18 was dramatic enough to have cleaned out the majority of weak hands. $/yen held at the 50% retrace of the rally from early 2023 to the July high. Similarly, the low in 2023 was made around the 50% retrace from the low at the start of 2021 to the high in 2022. So, maybe that part of the carnage is over…but maybe it’s not. The 50% retracement of the big move from the 2021 low to last month’s high is 132.20. My guess is that the low set right at the beginning of this year, 140.89, will be tested, and we’re likely to see 130’s. JPM says yen-carry is about 75% exited. From the chart, I don’t see it.
Jim Bianco relates the size of yen carry to the Bank of Japan’s balance sheet:
No definitive statistic shows its [yen carry] size, so we have to infer it from the size of the Bank of Japan’s balance sheet. …the Bank of Japan’s balance sheet is larger than the country’s GDP, at 127.5% of GDP. By comparison, the Fed’s balance sheet is 25% of GDP.
BOJ Deputy Governor Uchida helped stabilize the currency on Wednesday:
(BBG) ‘I believe that the bank needs to maintain monetary easing with the current policy interest rate for the time being, with developments in financial and capital markets at home and abroad being extremely volatile,’ Uchida said.
Certainly part of the action in US markets is associated with yen-carry. However, it’s not just Japan that has had out-sized government influence on markets. US deficit spending has remained at emergency levels but the economic boost has faded. Gov’t hiring has contributed about 25% to payroll growth. It’s likely to slow significantly, no matter who wins the election.
Yields rose and the curve flattened as panicked pleas for emergency rate cuts subsided. Twos popped back above 4%, ending the week at 4.053%, up over 17 from the previous Friday’s 3.88%. Tens rose 14.7 bps to 3.942% and thirties 11.8 to 4.228%. Auctions of 10s and 30s were soft, as both tailed by 3 bps. On the SOFR strip, SFRH5 and M5 were the pivot, retracing the previous week’s rally by nearly one-quarter percent. Both down 24.5 at 9618 and 9646.5. The previous Friday high in SFRH5 was 9670.5! But even last week’s close is a rate of only 3.82%, a bit over six months forward, about 1.5% below the current Fed Effective Rate. SFRU4/SFRU5 spread is also around -150 bps, ending the week at -149 (9513.5/9662.5) from -158.
This week brings inflation data and retail sales. PPI on Tuesday expected 2.3% yoy, with Core 2.7%. CPI on Wednesday expected 3.0% yoy, unchanged from last month’s print, and Core 3.2%, down 0.1 from previous. Retail Sales on Thursday, expected +0.4% on the month. Inflation data has receded in importance relative to the labor market. However, Fed Governor Bowman in a speech Saturday said “…the recent rise in unemployment may be exaggerating the degree of cooling in labor markets.” “I will remain cautious in my approach to considering adjustments to the current stance of policy.” Of course, Chair Powell’s comments at the upcoming Jackson Hole Conference on August 23 will be key in determining the size of the September rate cut. October Fed Funds settled Friday at 9505.5 or 4.945%, almost exactly between 25 and 50 bps. (A 25 bp cut should take the EFFR to 5.08%, and 50 to 4.83%).
Consumer Credit isn’t a particularly closely watched monthly figure. However, last week’s print for June showed a dollar change of -$1.7 billion in revolving (credit card) debt. The data is a bit noisy, but the trend is declining. Some of that is likely due to increased stringency by lenders, and some due to tapped out consumers.
| 8/2/2024 | 8/9/2024 | chg | ||
| UST 2Y | 388.0 | 405.3 | 17.3 | |
| UST 5Y | 362.5 | 379.4 | 16.9 | |
| UST 10Y | 379.5 | 394.2 | 14.7 | |
| UST 30Y | 410.8 | 422.6 | 11.8 | |
| GERM 2Y | 235.2 | 238.6 | 3.4 | |
| GERM 10Y | 217.4 | 222.5 | 5.1 | |
| JPN 20Y | 172.1 | 168.3 | -3.8 | |
| CHINA 10Y | 212.4 | 220.5 | 8.1 | |
| SOFR U4/U5 | -158.0 | -149.0 | 9.0 | |
| SOFR U5/U6 | -13.5 | -18.0 | -4.5 | |
| SOFR U6/U7 | 6.0 | 4.5 | -1.5 | |
| EUR | 109.11 | 109.29 | 0.18 | |
| CRUDE (CLV4) | 72.59 | 75.61 | 3.02 | |
| SPX | 5346.56 | 5344.16 | -2.40 | 0.0% |
| VIX | 23.39 | 20.37 | -3.02 | |
