Rate futures locked down like the border
January 15, 2026
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–Wednesday featured falling yields, partially due to increasing tensions with Iran. Tens down 2.9 bps to 4.14%. TYH6 +6.5/32 to 112-15. TYG6 112.5^ settled 28/64, expiring one week from tomorrow. DV01 on the contract is $66.60, so straddle is roughly 6.5 bps. This morning oil has reversed, from a high of 62.20 in CLH6 late yesterday to a current level of 59.20 as Trump signaled that no imminent action would be taken in Iran. Stocks have bounced (though rotation yesterday between Nasdaq and midcap/industrial names was a bit manic). Swings in oil, stocks and precious metals are fierce, yet interest rate futures are on lock-down. For example, Jan SOFR midcurves expire Friday. SFRH8, green March, settled 9668.0. The 9668.75 straddle for Friday (2QH6) settled just 3.75 with two full sessions to go. When the Fed was in play, the long-dated straddle on the first red, currently SFRH7, was around 100 bps. Now, with 422 days to go that straddle is half the premium, at 51. SFRZ8 9650^ with 1066 days until expiry, settled 96.75 (ref 9652.5). So, no straddles >100.
–New lows in a few near SOFR calendar spreads. SFRH6/H7 -46.0, down 1.5 on the day (9639.5, +0.5/9685.5, +2.0). H6 is the lowest contract of the first three years and H7 is the peak on the strip. SOFRRATE has compressed toward Fed Effective, with the former 3.65 and EFFR 3.64. So, SFRH6 at 3.605 shows little expectation of ease, and even the forward H7 contract at 3.145% isn’t particularly enthusiastic about Miran’s arguments for 100 bps or more of ease over the coming year.
–2/10 treasury spread remains in a fairly tight range, but has edged to a slight new low of 62.8 (20 session range).
–Economic data is light. Today features Philly Fed expected -1.4 from -10.2 and Jobless Claims, expected 215k. The Fed’s semi-annual testimony to Congress is usually in February, but may be cancelled this year due to charges against Powell/Fed.
